6,580 research outputs found
Optimal embedding parameters: A modelling paradigm
Reconstruction of a dynamical system from a time series requires the
selection of two parameters, the embedding dimension and the embedding
lag . Many competing criteria to select these parameters exist, and all
are heuristic. Within the context of modeling the evolution operator of the
underlying dynamical system, we show that one only need be concerned with the
product . We introduce an information theoretic criteria for the
optimal selection of the embedding window . For infinitely long
time series this method is equivalent to selecting the embedding lag that
minimises the nonlinear model prediction error. For short and noisy time series
we find that the results of this new algorithm are data dependent and superior
to estimation of embedding parameters with the standard techniques
JIDT: An information-theoretic toolkit for studying the dynamics of complex systems
Complex systems are increasingly being viewed as distributed information
processing systems, particularly in the domains of computational neuroscience,
bioinformatics and Artificial Life. This trend has resulted in a strong uptake
in the use of (Shannon) information-theoretic measures to analyse the dynamics
of complex systems in these fields. We introduce the Java Information Dynamics
Toolkit (JIDT): a Google code project which provides a standalone, (GNU GPL v3
licensed) open-source code implementation for empirical estimation of
information-theoretic measures from time-series data. While the toolkit
provides classic information-theoretic measures (e.g. entropy, mutual
information, conditional mutual information), it ultimately focusses on
implementing higher-level measures for information dynamics. That is, JIDT
focusses on quantifying information storage, transfer and modification, and the
dynamics of these operations in space and time. For this purpose, it includes
implementations of the transfer entropy and active information storage, their
multivariate extensions and local or pointwise variants. JIDT provides
implementations for both discrete and continuous-valued data for each measure,
including various types of estimator for continuous data (e.g. Gaussian,
box-kernel and Kraskov-Stoegbauer-Grassberger) which can be swapped at run-time
due to Java's object-oriented polymorphism. Furthermore, while written in Java,
the toolkit can be used directly in MATLAB, GNU Octave, Python and other
environments. We present the principles behind the code design, and provide
several examples to guide users.Comment: 37 pages, 4 figure
Time series prediction using supervised learning and tools from chaos theory
A thesis submitted to the Faculty of Science and Computing,
University of Luton, in partial fulfilment of the requirements for the degree of Doctor of PhilosophyIn this work methods for performing time series prediction on complex real world time series are examined. In particular series exhibiting non-linear or chaotic behaviour are selected for analysis. A range of methodologies based on Takens' embedding theorem are considered and compared with more conventional methods. A novel combination of methods for determining the optimal embedding parameters are employed and tried out with multivariate financial time series data and with a complex series derived from an experiment in biotechnology. The results show that this combination of techniques provide accurate results while improving dramatically the time required to produce predictions and analyses, and eliminating a range of parameters that had hitherto been fixed empirically. The architecture and methodology of the prediction software developed is described along with design decisions and their justification. Sensitivity analyses are employed to justify the use of this combination of methods, and comparisons are made with more conventional predictive techniques and trivial predictors showing the superiority of the results generated by the work detailed in this thesis
Attractor reconstruction of an impact oscillator for parameter identification
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