Computer Methods and Programs in Biomedicine (2005) 80, 37—45

Non-linear analysis of EEG signals at various

sleep stages
Rajendra Acharya U. a,∗, Oliver Faust a, N. Kannathal a, TjiLeng Chua a,
Swamy Laxminarayan b

a Department of Electronics and Computer Engineering, School of Engineering, Ngee Ann Polytechnic,
535 Clementi Road, Singapore 599489, Singapore
b Biomedical Research Institute & Institute of Rural Health, Idaho Sate University, USA

Received 14 January 2005 ; received in revised form 15 June 2005; accepted 17 June 2005

KEYWORDS Summary Application of non-linear dynamics methods to the physiological sci-

Correlation dimension;
Sleep stages;
Approximate entropy;
Hurst exponent;
Fractal dimension;
Lyapunov Exponent
ences demonstrated that non-linear models are useful for understanding complex
physiological phenomena such as abrupt transitions and chaotic behavior. Sleep
stages and sustained fluctuations of autonomic functions such as temperature, blood
pressure, electroencephalogram (EEG), etc., can be described as a chaotic pro-
cess. The EEG signals are highly subjective and the information about the various
states may appear at random in the time scale. Therefore, EEG signal parameters,
extracted and analyzed using computers, are highly useful in diagnostics. The sleep
data analysis is carried out using non-linear parameters: correlation dimension,
fractal dimension, largest Lyapunov entropy, approximate entropy, Hurst exponent,
phase space plot and recurrence plots. These non-linear parameters quantify the
cortical function at different sleep stages and the results are tabulated.
© 2005 Elsevier Ireland Ltd. All rights reserved.

1. Introduction on the non-invasive nature of EEG. The approach

Non-linear dynamical analysis has emerged as a
novel method for the study of complex systems
in the past few decades. The non-linear analysis
method is effectively applied to electroencephalo-
gram (EEG) to study the dynamics of the complex
underlying behavior [1]. The growth of this method
as a tool for mental health evaluation mainly rests
∗ Corresponding author.
E-mail address: aru@np.edu.sg (R. Acharya U.).
is based on the principles of non-linear dynamics
and deterministic chaos that involves the charac-
terization of the system attractors with its invariant
parameters. This method is far more superior to the
traditional linear methods such as the Fourier trans-
forms and power spectral analysis [2]. Yet, since the
EEG signal is non-stationary and noisy, all such stud-
ies should be carried out with care and caution [3].
Analysis of sleep EEGs is a very important research
branch of medicine, because of its clinical appli-
cations (such as diagnosis of schizophrenia) and in
brain dynamics research.

0169-2607/$ — see front matter © 2005 Elsevier Ireland Ltd. All rights reserved.
doi:10.1016/j.cmpb.2005.06.011
38
Sleep is not a uniform state, but is character-
ized by a cyclic alternating pattern of non-rapid
eye movement (REM) and REM sleep [4—9]. Non-
REM sleep encompasses the deeper stages of sleep
(sleep stages 1 and 2, and slow wave sleep with
sleep stages 3 and 4), whereas REM sleep is a highly
activated state of the brain accompanied by dream-
ing. Sleep patterns in humans undergo a marked
change from birth to old age.
In sleep 0 (awake) stage, the patient’s eyes are
open and the EEG is rapidly varying. The voltage
is low and the ‘‘beta waves’’ are prominent. Eyes
move very slowly, the EEG frequency will be 6—8 Hz
and alpha waves are more predominant in the sleep
1 (drowsiness) stage. Sleep 2 stage is the light sleep
state, where the eye movements stop and our brain
waves become slower. Special waves ‘K-complexes’
and sleep spindles begin to appear. In this state,
EEG amplitude is medium and EEG frequency is
4—7 Hz. In stage 3 (deep sleep), extremely slow
brain waves called delta waves begin to appear,
interspersed with smaller, faster waves. EEG sig-
nal will have the frequency 1—3 Hz and amplitude
will be high. By stage 4 (deep sleep, slow wave
sleep), the brain produces delta waves. It is very
difficult to wake someone during stages 3 and 4,
which together are called deep sleep. In stage 4,
the amplitude of EEG will be high, but the fre-
quency will be less than 2 Hz. The subject’s eyes
move rapidly along with the occasional muscular
twitches in sleep 5 (REM) stage. Theta wave is more
predominant in this sleep stage.
The importance of the biological time-series
analysis, which exhibits typically complex dynam-
ics, has long been recognized in the area of
non-linear analysis. Several features of these
approaches have been proposed to detect the
hidden important dynamical properties of the
physiological phenomenon. The analysis of these
biological signals is complicated due to its highly
irregular and non-stationary property. The non-
linear dynamical techniques are based on the
concept of chaos and it has been applied to many
areas including the areas of medicine and biology.
The theory of chaos has been used to detect some
cardiac arrhythmia such as ventricular fibrillation
[10]. Efforts have been made in determining
non-linear parameters like correlation dimension
for pathological signals and it has been shown
that they are useful indicators of pathologies.
Non-linear dynamics theory opens new window
for understanding behavior of EEG. EEG models
were proposed by Freeman [11] for neocortical
dynamics. The technique has been extended
here to identify the abnormalities of different
types. In analysis of EEG data, different chaotic
A.U. Rajendra et al.
measures such as correlation dimension, Lyapunov
exponent and entropy are used in recent literature
[12—17].
Baumgaurt-Schmitt et al. have used neural net-
work to classify the various sleep stages by extract-
ing the features from the genetic algorithms [18].
Recently, the polysomnography of a healthy male
subject was analyzed by evaluating the correlation
dimensions. The correlation dimensions decreased
from the ‘awake’ stage to sleep stages 1—3 and
increased during rapid eye movement sleep. In each
sleep cycle, the correlation dimensions decrease
for slow wave sleep, and increase for REM sleep
[19,20]. Fell et al. have calculated the first Lya-
punov exponents (L1 ) for different sleep EEG signal
in 15 healthy subjects corresponding to the sleep
stages 1—4 and REM. And they found statistically
significant differences between the values of L1 for
different sleep stages [21]. Fell et al. have studied
the sleep stages using the spectral analysis and non-
linear techniques [22,23]. They concluded that non-
linear measures yield additional information, which
improves the ability to discriminate sleep stages.
Recently, Dingli et al. have shown the spectral anal-
ysis technique for the detection of cortical activity
changes in sleep apnoea subjects. The most con-
sistent significant change is the decrease in theta
power, during NREM sleep is either associated with
an increase in high frequencies (alpha and sigma)
or delta increase [24]. In this work, we study the six
different types of sleep signals using the non-linear
parameters, namely correlation dimension (CD),
Hurst exponent (H), approximate entropy (ApEn),
largest Lyapunov entropy (LLE), fractal dimension
(FD), phase space plot and recurrence plots (RP).
2. Methodology
2.1. Subjects
The EEG data for analysis were obtained from the
Sleep-EDF Database available from the PhysioBank,
a data resource. The recordings were obtained from
Caucasian males and females (21—35 years old)
without any medication. The recordings were taken
for 24 h from eight subjects. Sleep EEG for 80 h
is extracted from the recordings and sampled at
100 Hz. The sleep stages are coded according to
Rechtschaffen and Kales based on Fpz-Cz/Pz-Oz
EEG [25]. In this work, the maximum available sam-
ples for different sleep states were taken from the
PhysioBank, except for sleep state 0, where 1500
samples were selected. This sample size is suffi-
cient for accurate analysis and gives better sample
sizes distribution across the various sleep states.
Non-linear analysis of EEG signals at various sleep stages
In sleep 1 state, 800 samples (maximum available),
1000 samples in sleep 2—4 state and in sleep 5 state
900 samples (maximum available) were extracted
from PhysioBank for our study.
2.2. Phase space plot
In this approach, a phase space plot is obtained
with the X-axis representing the EEG sample x(k),
and the Y-axis representing the EEG sample after
a delay x(k + T). The delay interval T is calculated
using the minimal mutual information technique
[26,27]. It has been observed that the patterns
emerging on the screen can be correlated to the
various sleep states.
A method of estimating the embedding dimen-
sion from the phase space patterns was proposed by
Grassberger and Procaccia [28]. Other authors have
verified that the embedding theorem restriction is
only a sufficient, but not a necessary condition for
dynamical reconstruction [29]. Nevertheless, the
dimensionality of the attractor is usually unknown
for experimental data and therefore, the corre-
sponding embedding dimension is unknown. In the
present work, an embedding dimension of 10 was
chosen [30,31]. The software used for analysis is
CDA Pro Data analyzer [31].
2.3. Correlation dimension
Correlation dimension describes the dimensionality
of the underlying process in relation to its geomet-
rical reconstruction in phase space. We estimated
CD using an approach based Grassberger—Procaccia
algorithm [28]. It estimates the average number of
data points within a radius r of the data point Xy .
Correlation dimension was calculated using the
fundamental definition
log C(r)
CD = lim (1)
r→0 log(r)
max )
where the correlation integral C(r) is given by
N Largest Lyapunov exponent reflects the sensitiv-
1

C(r) =
(N − min )(N − min − 1)
x=1
N

during its orbit, passes closely to a state it was
× (r − |Xx − Xy |) (2)
max provides a measure
y=x+min
where Xx and Xy are the points of the trajectory
in the phase space, N the number of data points
in phase space, r the radial distance around each
reference point Xi ,  the Heaviside function and
min is the average correlation time, the time taken
for the autocorrelation function to first decay to
1/e.
39
2.4. Approximate entropy
Approximate entropy is defined as the logarithmic
likelihood that the patterns of the data that are
close to each other will remain close for the next
comparison with a longer pattern. Thus, ApEn
provides a generalized measure of regularity. A
deterministic signal with high regularity has a
higher probability of remaining close for longer
vectors of the series and hence has a very small
ApEn value. On the other hand, a random signal
has a very low regularity and produces a high ApEn
value.
Approximate entropy is a measure of complex-
ity and is applied to relatively short and noisy
data [32,33]. In EEG analysis, there are very few
reported results [34] of the application of ApEn.
Two parameters m and r must be chosen prior to
the computation of ApEn, where m specifies the
pattern length and r is the effective filter. Here,
one has to compute the correlation integral Cm (r)
(with embedding dimension m and time lag 1). This
measure is finally obtained as follows:
L−m
1
1
ApEn(m, r, L) = log Cim+1 (r) −
L−m L−m+1
i=1
L−m


× log Cim (r) (3)
i=1
Thus, ApEn quantifies the (log) likelihood that sets
of patterns that are close on next incremental
comparison. Smaller values of ApEn imply a greater
likelihood that certain patterns of measurements
will be followed by similar measurements. If the
time-series is highly irregular, the occurrence of
similar patterns in the future is less likely. For
this study, m is set to 2 and r is set to 15% of the
standard deviation of each time-series.
2.5. Largest Lyapunov exponent (
ity of the system to the initial conditions. The
time-domain signal is embedded in the phase
space, and examined there in. If the attractor,
previously in and diverges,
of the rate of this (typically exponent) divergence
[35].
It defines the averaged rate of divergence (or
convergence) of two neighboring trajectories. For
two points in a space X0 and X0 + x0 , that are func-
tion of time and each of which will generate an
orbit in that space using some equation or system
of equations, then the separation between the two
40
orbits x will also be a function of time. This sepa-
ration is also a function of the location of the initial
value and has the form x(X0 , t). For chaotic data
set, the function x(X0 , t) will behave erratically.
The mean exponential rate of divergence of two
initially close orbits is characterized by
 
1 x(X0 , t)
= lim ln (4)
t→˛ t |X0 |
This number, called the Lyapunov exponent ‘‘
’’, is is the same. However, when considering two frac-
useful for distinguishing among the various types of
orbits.
2.6. Hurst exponent
The Hurst exponent is a measure that has been
widely used to evaluate the self-similarity and cor-
relation properties of fractional Brownian noise,
the time-series produced by a fractional (fractal)
Gaussian process. Hurst exponent is used to evalu-
ate the presence or absence of long-range depen-
dence and its degree in a time-series. However,
local trends (non-stationarities) are often present
in physiological data and may compromise the abil-
ity of some methods to measure self-similarity. The
Hurst exponent is a measure of the smoothness of a
fractal time-series based on the asymptotic behav-
ior of the rescaled range of the process. The Hurst
exponent, H, is defined as:
log(R/S)
H= (5)
log(T )
where T is the duration of the sample of data
and R/S is the corresponding value of rescaled
range. The above expression is obtained from the
Hurst’s generalized equation of time-series that
is also valid for Brownian motion. It is given by
R/S = k × TH , where k is a constant. If H = 0.5, the
behavior of the time-series is similar to a ran-
dom walk; if H < 0.5, the time-series covers less
‘‘distance’’ than a random walk (i.e. if the time-
series increases, it is more probable that then it
will decrease, and vice-versa); if H > 0.5, the time-
series covers more ‘‘distance’’ than a random walk
(if the time-series increases, it is more probable
that it will continue to increase). Given a time-
series x(n), n = 1, . . ., N, H can be estimated by
taking the slope of (R/S) plotted versus n in a
log—log scale. H is related to the fractal dimension
D: H = E + 1 − D, where E is the Euclidean dimension.
2.7. Fractal dimension
The term ‘‘fractal’’ was first introduced by Man-
delbrot [36]. A fractal is a set of points that when
A.U. Rajendra et al.
looked at smaller scales, resembles the whole set.
The concept of fractal dimension that refers to
a non-integer or fractional dimension originates
from fractal geometry. In traditional geometry, the
topological or Euclidean dimension of an object is
known as the number of directions each differen-
tial of the object occupies in space. This definition
of dimension works well for geometrical objects
whose level of detail, complexity or ‘‘space-filling’’
tals of the same topological dimension, their level
of ‘‘space-filling’’ is different, and that information
is not given by the topological dimension. The FD
emerges to provide a measure of how much space
an object occupies between Euclidean dimensions.
The FD of a waveform represents a powerful tool
for transient detection. This feature has been used
in the analysis of ECG and EEG to identify and dis-
tinguish specific states of physiological function.
Many algorithms are available to determine the
FD of the waveform. In this work, algorithm pro-
posed by Katz is implemented for analysis of EEG
signals.
2.8. Katz algorithm
Using Katz’s method [37], the FD of a curve can be
defined as,
log10 (L)
DKatz = (6)
log10 (d)
where L is the total length of the curve or sum of
distances between successive points and d is the
diameter estimated as the distance between the
first point of the sequence and the point of the
sequence that provides the farthest distance. Math-
ematically, d can be expressed as d = max(x(1),
x(i)).
Considering the distance between each point
of the sequence and the first, point i is the one
that maximizes the distance with respect to the
first point. The FD compares the actual number
of units that compose a curve with the minimum
number of units required to reproduce a pattern
of the same spatial extent. FDs computed in this
fashion depend upon the measurement units used.
If the units are different, then so are the FDs.
Katz’s approach solves this problem by creating
a general unit or yardstick: the average step
or average distance between successive points,
a. Normalizing the distances DKatz is then given
by,
log10 (L/a)
DKatz = (7)
log10 (d/a)
Non-linear analysis of EEG signals at various sleep stages
2.9. Recurrence plot
Recurrence plots are a valuable tool for assessing
the geometry of the dynamics exploiting non-linear
dependencies even in non-stationary time-series;
therefore, it is particularly useful in the analysis
of physiological data. These plots disclose distance
relationships between points on a dynamical sys-
tem providing a faithful representation of the time
dependencies (correlations) contained in the data
[38]. This is a graphical tool for the diagnosis of
drift and hidden periodicities in the time evolution
of dynamical systems, which are unnoticeable
otherwise.
Let s(i) be the ith point on the orbit describ-
ing a dynamical system in dE -dimensional space.
The recurrence plot is an N × N square, where a
dot is placed at (i, j) whenever s(j) is sufficiently
close to s(i). To obtain a recurrence plot from time-
series s(n), an embedding dimension dE , is chosen
by method of delays [39]. Next, we choose r(i) such
that the ball of radius r(i) centered at s(i) in RdE
contains reasonable number of other points s(j) of
the orbit. Finally, we plot at each point (i, j) for
which s(j) is in the ball of radius r(i) centered at
s(j). The resulting plot is the recurrence plot.
2.10. Non-linear dynamics using surrogate
data
For the noisy and short time-series, standard
chaotic dynamics algorithms can give spurious
results, i.e. they can indicate the presence of the
max ) provide a
non-linear dynamics in completely random systems.
Recently, the surrogate data techniques have been
developed to distinguish the chaotic systems from
the linearly correlated noise [40]. The ‘‘surrogate’’
data sets are created from the original data. The
‘‘surrogate’’ data are completely stochastic, but
they contain exactly the same linear correlations as
that in the original time-series. The practical way
to do this is to take the Fourier transform of the
original data, randomize the phases while keeping
the magnitudes intact, and then make the invert
Fourier transform. The resulting time-series have
the same power spectrum as the initial data set, but
they are random in all other respects. Then, one can
compute any chaos parameter, for example, cor-
relation dimension, using the same algorithm for
both, original and surrogate data sets. If the differ-
ence between the real and the surrogate dimension
is significantly larger than the standard deviation of
the surrogate dimensions calculated from different
sets, then it is a strong indication of the non-linear
structure in the investigated time-series. This is
obtained using the Chaos Data Analyzer [31].
41
2.11. ANOVA test
The p-value can be obtained using analysis of
variance between groups (ANOVA) test. ANOVA
uses variances to decide whether the means are
different. This test uses the variation (variance)
within the groups and translate into variation
(i.e. differences) between the groups, taking
into account how many subjects there are in the
groups. If the observed differences are high, then
it is considered to be statistically significant.
3. Results
The ApEn, CD, LLE, FD and H have higher value
for the sleep 0 (awake) state due to the highly
active cortex and desynchronized EEG signals. In
this state, the EEG signal becomes highly random.
In sleep 1—4 states, this value falls gradually due to
the reduction in the variability of EEG signals and
the cortex becomes more inactive. In sleep 4 state,
the ApEn will be lowest due to the very low varia-
tion in the EEG signals. The sleep 5 state is the REM
state. In this state, the variation is slightly more
and as a result the ApEn increases.
The mean CD decreases from the awake state to
stages of 1—4 and then increases during the rapid
eye movement sleep. This change in the CD for
different sleep states is attributed for their signal
variability.
Largest Lyapunov exponents (
measure of the rate of this divergence. This value
is increased for sleep 3 and 5 states due to more
variation involved as compared to the other states.
The self-similarity parameter, Hurst exponent
(H), is obtained for all data sets. This value gradu-
ally decreases from state 1 to 2. It has a maximum
value in state 3 from which it decreases in the states
3 and 4 and has maximum value in state 5 indicating
higher self-similarity.
The reduction in FD values characterizes the
reduction in brain system complexity for the sub-
jects during the sleep activity. The FD decreases
from sleep 0 to 1—4 states, because of the decrease
in the frequency. And this FD increases in sleep 5
state due to increase in the frequency.
All the results are presented as mean ± S.D. with
‘‘p’’-values in Table 1. The results of these were
subjected to ANOVA test with more than 95% con-
fidence interval giving excellent ‘p’-values in all
cases.
In sleep 0 state, the variation is very high.
Hence, in the recurrence plot, there are many
yellow strips (presence of beta activity), indicating
42 A.U. Rajendra et al.

Table 1 Result of various non-linear parameters for various sleep stages

Parameters Sleep 0 Sleep 1 Sleep 2 Sleep 3 Sleep 4 Sleep 5 ‘p’-Value
FD −1.45 ± 0.19 −1.60 ± 0.21 −1.39 ± 0.20 −1.74 ± 0.11 −1.81 ± 0.05 −1.55 ± 0.20 0.000
ApEn 0.97 ± 0.40 0.68 ± 0.57 0.91 ± 0.47 0.45 ± 0.53 0.28 ± 0.41 0.83 ± 0.51 0.000
CD 6.03 ± 0.86 6.34 ± 0.60 5.96 ± 0.67 6.29 ± 0.67 6.42 ± 0.54 6.30 ± 0.59 0.000
LLE 0.91 ± 0.34 0.95 ± 0.21 0.84 ± 0.31 1.10 ± 0.30 0.98 ± 0.28 1.02 ± 0.41 0.063
H 0.51 ± 0.20 0.39 ± 0.19 0.58 ± 0.24 0.25 ± 0.07 0.23 ± 0.07 0.43 ± 0.23 0.000

the presence of high frequencies (Fig. 1(a)). In
sleep 1 stage, the high frequency component
decreases and is indicated by blue, red and green
patches (Fig. 2(a)). The presence of blue and green
patches indicates the theta activity in this state.
The sleep 2—4 states show patches of blue, red
and green colors indicating less variation in the
EEG signal (Figs. 3(a), 4(a) and 5(a), respectively).
In sleep 2 state, the theta activity is indicated by
blue patches. In state 3, the EEG signal frequency
decreases further, the delta waves begin to appear
(is indicated by small green patches). And in sleep
state 4, these blue and green patches decreases
indicating the decrease in the frequency and also
the presence of delta wave. Finally, in sleep state
5, there are still patches of blue and yellow colors

Fig. 1 (a) Result of recurrence plot at sleep 0 stage. (b) Phase space plot at sleep 0 stage.

Fig. 2 (a) Result of recurrence plot at sleep 1 stage. (b) Phase space plot at sleep 1 stage.
Non-linear analysis of EEG signals at various sleep stages 43

Fig. 3 (a) Result of recurrence plot at sleep 2 stage. (b) Phase space plot at sleep 2 stage.

Fig. 4 (a) Result of recurrence plot at sleep 3 stage. (b) Phase space plot at sleep 3 stage.

Fig. 5 (a) Result of recurrence plot at sleep 4 stage. (b) Phase space plot at sleep 4 stage.
44
Fig. 6 (a) Result of recurrence plot at sleep 5 stage. (b) Phase space plot at sleep 5 stage.
indicating the low and high frequencies (Fig. 6(a)).
These figures are unique for the different sleep
states. Fig. 1(b) shows the phase space plot for
the sleep 0 (awake) state. It shows a wide spread,
indicating more variation in the EEG in this state.
Figs. 2(b), 3(b), 4(b) and 5(b) indicate the phase
space plots of the sleep 1—4 states. The phase
space plot area decreases from states 1 to 4, due
to the decrease in the variation and at state 5,
the spread is wide due to the increase in the EEG
variation (Fig. 6(b)).
To test for the non-linearity of the sleep EEG
signal, 20 sets of surrogate data are generated for
each of the five stages of sleep. ApEn is obtained
for both the original and surrogate data sets. We
found that the surrogate data ApEn and original
data ApEn are different from each other by more
than 50%. The similar procedure is repeated for cor-
relation dimension. The surrogate data correlation
dimension and original data correlation dimension
are different from each other by more than 58%.
This rejects the null hypothesis and hence the orig-
inal data contain non-linear features.
4. Discussion
The cortex becomes more inactive as the person
goes through from one sleep stage to the next
stage, until sleep 4 state. Hence, less number of
neurons will be available for processing the infor-
mation and as a result the entropy, CD, LLE and H
max , ApEn and Hurst
fall. But in sleep 5 (REM) state, the brain is very
active in this state, almost to the level at which
it is when a person is awake. Blood flow to the
brain is also increased during this stage of sleep.
As a result, the cortex becomes more active and
A.U. Rajendra et al.
more neurons will be available for processing the
information.
Kobayashi et al. have used the polysomnogra-
phy of a healthy male subject to analyze the sleep
stages by calculating the correlation dimensions
[19]. The correlation dimensions decreased from
the ‘awake’ stage to sleep stages 1—3 and increased
during rapid eye movement sleep. These results
were seen during each sleep cycle. In each sleep
cycle, the correlation dimensions decrease for slow
wave sleep, and increase for REM sleep. Fell et al.
have studied the sleep stages using the spectral
analysis and non-linear techniques [22,23]. They
evaluated the spectral measures like relative delta
power, spectral edge, spectral entropy and first
spectral moments, and non-linear measures like
correlation dimension, largest Lyapunov exponent
and approximated Kolmogorov entropy (K2). And
they showed that the non-linear parameters (CD
and LLE) performed better in discriminating sleep
stages 1 and 2, whereas the values of spectral mea-
sures were distinct for stages 2 and 3. Combinations
of spectral and non-linear measures yielded a bet-
ter overall discrimination of sleep stages than spec-
tral measures alone.
5. Conclusion
In this work, we have analyzed the cortical func-
tioning at different sleep stages using the non-
linear parameters: FD, CD,
exponent. These values decrease indicating the
reduction in the disorder from sleep states 0 to 4,
due to the lesser number of available neurons in
each state for processing. But in sleep 5 state, these
values increase due to the highly active cortex. The
Non-linear analysis of EEG signals at various sleep stages
spread of the phase space plot and the recurrence
plot are unique for each sleep state. In this work,
we have proposed a set of ranges for these non-
linear parameters during the various sleep states.
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