Large noise level estimation

We generalize a method of noise estimation for chaotic time series due to [Schreiber, 1993] in cases where the noise level is relatively large. The noise estimation is based on the correlation integral, which, for small amounts of noise, is not affected by the attractor's curvature effects. When the noise is large, however, one has to increase the range of the correlation integral and this brings about significant inaccuracies in its evaluation due to both curvature effects and noise. In this Letter, we present a modification of Schreiber's noise level estimation method, which uses a robust error estimator based on L_-∞ (rather than the usual L₂) norm in the computations. Since L_-∞ was proved less sensitive to curvature effects, it gives a more accurate estimation of the noise standard deviation compared with Schreiber's results. Here, we illustrate our approach on the Hénon map corrupted by Gaussian white noise with zero mean, as well as on real data obtained from the Nasdaq Composite time series of daily returns.