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Optimizing of recurrence plots for noise reduction

MPS-Authors
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Matassini,  L.
Max Planck Institute for the Physics of Complex Systems, Max Planck Society;

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Kantz,  H.
Max Planck Institute for the Physics of Complex Systems, Max Planck Society;

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Hegger,  R.
Max Planck Institute for the Physics of Complex Systems, Max Planck Society;

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Citation

Matassini, L., Kantz, H., Hołyst, J., & Hegger, R. (2002). Optimizing of recurrence plots for noise reduction. Physical Review E, 65(2): 021102. Retrieved from http://ojps.aip.org/getabs/servlet/GetabsServlet?prog=normal&id=PLEEE8000065000002021102000001&idtype=cvips&gifs=yes.


Cite as: http://hdl.handle.net/11858/00-001M-0000-002B-382A-9
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.