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Summary: Improved statistical test for nonstationarity using recurrence time statistics
Christoph Rieke,1,2,
* Ralph G. Andrzejak,3
Florian Mormann,1
and Klaus Lehnertz1
1
Department of Epileptology, Medical Center, University of Bonn, Sigmund-Freud-Straße 25, 53105 Bonn, Germany
2
Helmholtz-Institute for Radiation and Nuclear Physics, University of Bonn, Nussallee 14-16, 53115 Bonn, Germany
3
John-von-Neumann Institute for Computing, Forschungszentrum Jülich, 52425 Jülich, Germany
(Received 13 May 2003; published 27 April 2004)
We have recently introduced a measure for nonstationarity using a recurrence time statistic to assess sta-
tionarity. In this paper we propose an extension of this method based on a detailed study of the statistics for the
case of stationary systems. We derive a simple scheme that allows us to estimate the effective number of
degrees of freedom relevant for this statistic. This substantially improves the statistical significance of the
method and can be used to improve the significance of various other nonlinear statistics.
DOI: 10.1103/PhysRevE.69.046111 PACS number(s): 02.50. r, 05.45.Tp
I. INTRODUCTION
Nonstationarity is a property of a dynamical system that is
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