10,776 research outputs found
Spectral proper orthogonal decomposition and its relationship to dynamic mode decomposition and resolvent analysis
We consider the frequency domain form of proper orthogonal decomposition
(POD) called spectral proper orthogonal decomposition (SPOD). Spectral POD is
derived from a space-time POD problem for statistically stationary flows and
leads to modes that each oscillate at a single frequency. This form of POD goes
back to the original work of Lumley (Stochastic tools in turbulence, Academic
Press, 1970), but has been overshadowed by a space-only form of POD since the
1990s. We clarify the relationship between these two forms of POD and show that
SPOD modes represent structures that evolve coherently in space and time while
space-only POD modes in general do not. We also establish a relationship
between SPOD and dynamic mode decomposition (DMD); we show that SPOD modes are
in fact optimally averaged DMD modes obtained from an ensemble DMD problem for
stationary flows. Accordingly, SPOD modes represent structures that are dynamic
in the same sense as DMD modes but also optimally account for the statistical
variability of turbulent flows. Finally, we establish a connection between SPOD
and resolvent analysis. The key observation is that the resolvent-mode
expansion coefficients must be regarded as statistical quantities to ensure
convergent approximations of the flow statistics. When the expansion
coefficients are uncorrelated, we show that SPOD and resolvent modes are
identical. Our theoretical results and the overall utility of SPOD are
demonstrated using two example problems: the complex Ginzburg-Landau equation
and a turbulent jet
A Random Matrix Approach to Dynamic Factors in macroeconomic data
We show how random matrix theory can be applied to develop new algorithms to
extract dynamic factors from macroeconomic time series. In particular, we
consider a limit where the number of random variables N and the number of
consecutive time measurements T are large but the ratio N / T is fixed. In this
regime the underlying random matrices are asymptotically equivalent to Free
Random Variables (FRV).Application of these methods for macroeconomic
indicators for Poland economy is also presented.Comment: arXiv admin note: text overlap with arXiv:physics/0512090 by other
author
Diffusion, super-diffusion and coalescence from single step
From the exact single step evolution equation of the two-point correlation
function of a particle distribution subjected to a stochastic displacement
field \bu(\bx), we derive different dynamical regimes when \bu(\bx) is
iterated to build a velocity field. First we show that spatially uncorrelated
fields \bu(\bx) lead to both standard and anomalous diffusion equation. When
the field \bu(\bx) is spatially correlated each particle performs a simple
free Brownian motion, but the trajectories of different particles result to be
mutually correlated. The two-point statistical properties of the field
\bu(\bx) induce two-point spatial correlations in the particle distribution
satisfying a simple but non-trivial diffusion-like equation. These
displacement-displacement correlations lead the system to three possible
regimes: coalescence, simple clustering and a combination of the two. The
existence of these different regimes, in the one-dimensional system, is shown
through computer simulations and a simple theoretical argument.Comment: RevTeX (iopstyle) 19 pages, 5 eps-figure
Spectral analysis of stationary random bivariate signals
A novel approach towards the spectral analysis of stationary random bivariate
signals is proposed. Using the Quaternion Fourier Transform, we introduce a
quaternion-valued spectral representation of random bivariate signals seen as
complex-valued sequences. This makes possible the definition of a scalar
quaternion-valued spectral density for bivariate signals. This spectral density
can be meaningfully interpreted in terms of frequency-dependent polarization
attributes. A natural decomposition of any random bivariate signal in terms of
unpolarized and polarized components is introduced. Nonparametric spectral
density estimation is investigated, and we introduce the polarization
periodogram of a random bivariate signal. Numerical experiments support our
theoretical analysis, illustrating the relevance of the approach on synthetic
data.Comment: 11 pages, 3 figure
Multivariate Granger Causality and Generalized Variance
Granger causality analysis is a popular method for inference on directed
interactions in complex systems of many variables. A shortcoming of the
standard framework for Granger causality is that it only allows for examination
of interactions between single (univariate) variables within a system, perhaps
conditioned on other variables. However, interactions do not necessarily take
place between single variables, but may occur among groups, or "ensembles", of
variables. In this study we establish a principled framework for Granger
causality in the context of causal interactions among two or more multivariate
sets of variables. Building on Geweke's seminal 1982 work, we offer new
justifications for one particular form of multivariate Granger causality based
on the generalized variances of residual errors. Taken together, our results
support a comprehensive and theoretically consistent extension of Granger
causality to the multivariate case. Treated individually, they highlight
several specific advantages of the generalized variance measure, which we
illustrate using applications in neuroscience as an example. We further show
how the measure can be used to define "partial" Granger causality in the
multivariate context and we also motivate reformulations of "causal density"
and "Granger autonomy". Our results are directly applicable to experimental
data and promise to reveal new types of functional relations in complex
systems, neural and otherwise.Comment: added 1 reference, minor change to discussion, typos corrected; 28
pages, 3 figures, 1 table, LaTe
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