Description of stochastic and chaotic series using visibility graphs

Nonlinear time series analysis is an active field of research that studies the structure of complex signals in order to derive information of the process that generated those series, for understanding, modeling and forecasting purposes. In the last years, some methods mapping time series to network representations have been proposed. The purpose is to investigate on the properties of the series through graph theoretical tools recently developed in the core of the celebrated complex network theory. Among some other methods, the so-called visibility algorithm has received much attention, since it has been shown that series correlations are captured by the algorithm and translated in the associated graph, opening the possibility of building fruitful connections between time series analysis, nonlinear dynamics, and graph theory. Here we use the horizontal visibility algorithm to characterize and distinguish between correlated stochastic, uncorrelated and chaotic processes. We show that in every case the series maps into a graph with exponential degree distribution P (k) ~ exp(-{\lambda}k), where the value of {\lambda} characterizes the specific process. The frontier between chaotic and correlated stochastic processes, {\lambda} = ln(3/2), can be calculated exactly, and some other analytical developments confirm the results provided by extensive numerical simulations and (short) experimental time series

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

On the Outage Probability of the Full-Duplex Interference-Limited Relay Channel

In this paper, we study the performance, in terms of the asymptotic error probability, of a user which communicates with a destination with the aid of a full-duplex in-band relay. We consider that the network is interference-limited, and interfering users are distributed as a Poisson point process. In this case, the asymptotic error probability is upper bounded by the outage probability (OP). We investigate the outage behavior for well-known cooperative schemes, namely, decode-and-forward (DF) and compress-and-forward (CF) considering fading and path loss. For DF we determine the exact OP and develop upper bounds which are tight in typical operating conditions. Also, we find the correlation coefficient between source and relay signals which minimizes the OP when the density of interferers is small. For CF, the achievable rates are determined by the spatial correlation of the interferences, and a straightforward analysis isn't possible. To handle this issue, we show the rate with correlated noises is at most one bit worse than with uncorrelated noises, and thus find an upper bound on the performance of CF. These results are useful to evaluate the performance and to optimize relaying schemes in the context of full-duplex wireless networks.Comment: 30 pages, 4 figures. Final version. To appear in IEEE JSAC Special Issue on Full-duplex Wireless Communications and Networks, 201

A Random Matrix Approach to VARMA Processes

We apply random matrix theory to derive spectral density of large sample covariance matrices generated by multivariate VMA(q), VAR(q) and VARMA(q1,q2) processes. 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). We apply the FRV calculus to calculate the eigenvalue density of the sample covariance for several VARMA-type processes. We explicitly solve the VARMA(1,1) case and demonstrate a perfect agreement between the analytical result and the spectra obtained by Monte Carlo simulations. The proposed method is purely algebraic and can be easily generalized to q1>1 and q2>1.Comment: 16 pages, 6 figures, submitted to New Journal of Physic

Femtosecond Covariance Spectroscopy

The success of non-linear optics relies largely on pulse-to-pulse consistency. In contrast, covariance based techniques used in photoionization electron spectroscopy and mass spectrometry have shown that wealth of information can be extracted from noise that is lost when averaging multiple measurements. Here, we apply covariance based detection to nonlinear optical spectroscopy, and show that noise in a femtosecond laser is not necessarily a liability to be mitigated, but can act as a unique and powerful asset. As a proof of principle we apply this approach to the process of stimulated Raman scattering in alpha-quartz. Our results demonstrate how nonlinear processes in the sample can encode correlations between the spectral components of ultrashort pulses with uncorrelated stochastic fluctuations. This in turn provides richer information compared to the standard non-linear optics techniques that are based on averages over many repetitions with well-behaved laser pulses. These proof-of-principle results suggest that covariance based nonlinear spectroscopy will improve the applicability of fs non-linear spectroscopy in wavelength ranges where stable, transform limited pulses are not available such as, for example, x-ray free electron lasers which naturally have spectrally noisy pulses ideally suited for this approach