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MPIPKS:
Stochastic processes
Abstract:
We propose a way to automatically detect the best neighborhood size for a local projective noise reduction filter, where a typical problem is the proper identification of the noise level. Here we make use of concepts from the recurrence quantification analysis in order to adaptively tune the filter along the incoming time series. We define an index, to be computed via recurrence plots, whose minimum gives a clear indication of the best size of the neighborhood in the embedding space. Comparison of the local projective noise reduction filter using this optimization scheme with the state of the art is also provided.
