Journal
PHYSICAL REVIEW LETTERS
Volume 88, Issue 17, Pages -Publisher
AMERICAN PHYSICAL SOC
DOI: 10.1103/PhysRevLett.88.174102
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We introduce complexity parameters for time series based on comparison of neighboring values. The definition directly applies to arbitrary real-world data. For some well-known chaotic dynamical systems it is shown that our complexity behaves similar to Lyapunov exponents, and is particularly useful in the presence of dynamical or observational noise. The advantages of our method are its simplicity, extremely fast calculation, robustness, and invariance with respect to nonlinear monotonous transformations.
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