INFORMATION THEORETIC TEST FOR NONLINEARITY IN TIME-SERIES

A diagnostic test for identifying nonlinear dynamical relationships in time series, based on mutual information and redundancy, functionals introduced in information theory, is proposed. Its ability to distingu ish (noised) multiperiodic and random time series from time series gen erated by chaotic dynamical systems is demonstrated. The latter are ch aracterized by specific behaviour of marginal redundancies reflecting the increase of uncertainty in time due to positive information produc tion rate.