Noise reduction in chaotic time series by a local projection with nonlinear constraints

Krzysztof Urbanowicz, Janusz A. Holyst, Thomas Stemler, Hartmut Benner

Published 2003-08-26, updated 2004-01-07Version 3

On the basis of a local-projective (LP) approach we develop a method of noise reduction in time series that makes use of nonlinear constraints appearing due to the deterministic character of the underlying dynamical system. The Delaunay triangulation approach is used to find the optimal nearest neighboring points in time series. The efficiency of our method is comparable to standard LP methods but our method is more robust to the input parameter estimation. The approach has been successfully applied for separating a signal from noise in the chaotic Henon and Lorenz models as well as for noisy experimental data obtained from an electronic Chua circuit. The method works properly for a mixture of additive and dynamical noise and can be used for the noise-level detection.