Denoising Nonlinear Time Series Using Singular Spectrum Analysis and Fuzzy Entropy
Jian Jiang1, Hong-Bo Xie2**
1School of Mechanical Engineering, Nanjing University of Science and Technology, Nanjing 210094 2ARC Centre of Excellence for Mathematical and Statistical Frontiers, Queensland University of Technology, Brisbane 4000, Australia
Abstract：We present a hybrid singular spectrum analysis (SSA) and fuzzy entropy method to filter noisy nonlinear time series. With this approach, SSA decomposes the noisy time series into its constituent components including both the deterministic behavior and noise, while fuzzy entropy automatically differentiates the optimal dominant components from the noise based on the complexity of each component. We demonstrate the effectiveness of the hybrid approach in reconstructing the Lorenz and Mackey–Glass attractors, as well as improving the multi-step prediction quality of these two series in noisy environments.
2016, Vol. 33 
