Simple correlation dimension estimator and its use to detect causality

Anna Krakovská and Martina Chvosteková

Chaos, Solitons & Fractals, 2023, vol. 175, issue P1

Abstract: Revisiting the Grassberger–Procaccia algorithm inspires us to introduce an extremely simple estimator of the correlation dimension. For the new estimator, we also provide guidance on determining the extent to which the correlation dimension may be underestimated, given the size of the data and the dimensionality of the state space.

Keywords: Correlation dimension; Intrinsic dimension; Causality (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:175:y:2023:i:p1:s0960077923008767

DOI: 10.1016/j.chaos.2023.113975

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