Dynamic correlations at different time-scales with empirical mode decomposition

We introduce a simple approach which combines Empirical Mode Decomposition (EMD) and Pearson’s cross-correlations over rolling windows to quantify dynamic dependency at different time scales. The EMD is a tool to separate time series into implicit components which oscillate at different time-scales. We apply this decomposition to intraday time series of the following three financial indices: the S&P 500 (USA), the IPC (Mexico) and the VIX (volatility index USA), obtaining time-varying multidimensional cross-correlations at different time-scales. The correlations computed over a rolling window are compared across the three indices, across the components at different time-scales and across different time lags. We uncover a rich heterogeneity of interactions, which depends on the time-scale and has important lead–lag relations that could have practical use for portfolio management, risk estimation and investment decisions

Dynamic correlations at different time-scales with empirical mode decomposition

We introduce a simple approach which combines Empirical Mode Decomposition (EMD) and Pearson's cross-correlations over rolling windows to quantify dynamic dependency at different time scales. The EMD is a tool to separate time series into implicit components which oscillate at different time-scales. We apply this decomposition to intraday time series of the following three financial indices: the S & P 500 (USA), the IPC (Mexico) and the VIX (volatility index USA), obtaining time-varying multidimensional cross-correlations at different time-scales. The correlations computed over a rolling window are compared across the three indices, across the components at different time-scales and across different time lags. We uncover a rich heterogeneity of interactions, which depends on the time-scale and has important lead–lag relations that could have practical use for portfolio management, risk estimation and investment decisions

Time dependent intrinsic correlation analysis of temperature and dissolved oxygen time series using empirical mode decomposition

In the marine environment, many fields have fluctuations over a large range of different spatial and temporal scales. These quantities can be nonlinear \red{and} non-stationary, and often interact with each other. A good method to study the multiple scale dynamics of such time series, and their correlations, is needed. In this paper an application of an empirical mode decomposition based time dependent intrinsic correlation, \red{of} two coastal oceanic time series, temperature and dissolved oxygen (saturation percentage) is presented. The two time series are recorded every 20 minutes \red{for} 7 years, from 2004 to 2011. The application of the Empirical Mode Decomposition on such time series is illustrated, and the power spectra of the time series are estimated using the Hilbert transform (Hilbert spectral analysis). Power-law regimes are found with slopes of 1.33 for dissolved oxygen and 1.68 for temperature at high frequencies (between 1.2 and 12 hours) \red{with} both close to 1.9 for lower frequencies (time scales from 2 to 100 days). Moreover, the time evolution and scale dependence of cross correlations between both series are considered. The trends are perfectly anti-correlated. The modes of mean year 3 and 1 year have also negative correlation, whereas higher frequency modes have a much smaller correlation. The estimation of time-dependent intrinsic correlations helps to show patterns of correlations at different scales, for different modes.Comment: 35 pages with 22 figure

Disambiguating the role of blood flow and global signal with partial information decomposition

Global signal (GS) is an ubiquitous construct in resting state functional magnetic resonance imaging (rs-fMRI), associated to nuisance, but containing by definition most of the neuronal signal. Global signal regression (GSR) effectively removes the impact of physiological noise and other artifacts, but at the same time it alters correlational patterns in unpredicted ways. Performing GSR taking into account the underlying physiology (mainly the blood arrival time) has been proven to be beneficial. From these observations we aimed to: 1) characterize the effect of GSR on network-level functional connectivity in a large dataset; 2) assess the complementary role of global signal and vessels; and 3) use the framework of partial information decomposition to further look into the joint dynamics of the global signal and vessels, and their respective influence on the dynamics of cortical areas. We observe that GSR affects intrinsic connectivity networks in the connectome in a non-uniform way. Furthermore, by estimating the predictive information of blood flow and the global signal using partial information decomposition, we observe that both signals are present in different amounts across intrinsic connectivity networks. Simulations showed that differences in blood arrival time can largely explain this phenomenon, while using hemodynamic and calcium mouse recordings we were able to confirm the presence of vascular effects, as calcium recordings lack hemodynamic information. With these results we confirm network-specific effects of GSR and the importance of taking blood flow into account for improving de-noising methods. Additionally, and beyond the mere issue of data denoising, we quantify the diverse and complementary effect of global and vessel BOLD signals on the dynamics of cortical areas

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