Title :
Correntropy as a Novel Measure for Nonlinearity Tests
Author :
Gunduz, Aysegul ; Hegde, Anant ; Principe, Jose C.
Author_Institution :
Florida Univ., Gainesville
Abstract :
Statistical tests have become an essential step in nonlinear system modeling due to the complexities involved in their analysis. Correntropy is a kernel-based similarity measure which includes the information of both distribution and time structure of a stochastic process. The correntropy function´s capability of preserving nonlinear characteristics and high order moments makes it a suitable candidate as a statistic for determining whether a nonlinear structure exists within the system that created the observed time series. Experiments based on surrogate data methods have confirmed that correntropy can be employed as a discriminant measure for detecting nonlinear characteristics in time series.
Keywords :
nonlinear systems; statistical testing; stochastic processes; time series; correntropy; high order moments; kernel-based similarity measure; nonlinear system modeling; nonlinearity tests; statistical tests; stochastic process; time series; Autocorrelation; Electric variables measurement; Extraterrestrial measurements; Gain measurement; Kernel; Neural engineering; Statistical distributions; Stochastic processes; System testing; Time measurement;
Conference_Titel :
Neural Networks, 2006. IJCNN '06. International Joint Conference on
Conference_Location :
Vancouver, BC
Print_ISBN :
0-7803-9490-9
DOI :
10.1109/IJCNN.2006.246906