4,766 research outputs found
Nonlinear time-series analysis revisited
In 1980 and 1981, two pioneering papers laid the foundation for what became
known as nonlinear time-series analysis: the analysis of observed
data---typically univariate---via dynamical systems theory. Based on the
concept of state-space reconstruction, this set of methods allows us to compute
characteristic quantities such as Lyapunov exponents and fractal dimensions, to
predict the future course of the time series, and even to reconstruct the
equations of motion in some cases. In practice, however, there are a number of
issues that restrict the power of this approach: whether the signal accurately
and thoroughly samples the dynamics, for instance, and whether it contains
noise. Moreover, the numerical algorithms that we use to instantiate these
ideas are not perfect; they involve approximations, scale parameters, and
finite-precision arithmetic, among other things. Even so, nonlinear time-series
analysis has been used to great advantage on thousands of real and synthetic
data sets from a wide variety of systems ranging from roulette wheels to lasers
to the human heart. Even in cases where the data do not meet the mathematical
or algorithmic requirements to assure full topological conjugacy, the results
of nonlinear time-series analysis can be helpful in understanding,
characterizing, and predicting dynamical systems
Testing for Chaos in Deterministic Systems with Noise
Recently, we introduced a new test for distinguishing regular from chaotic
dynamics in deterministic dynamical systems and argued that the test had
certain advantages over the traditional test for chaos using the maximal
Lyapunov exponent.
In this paper, we investigate the capability of the test to cope with
moderate amounts of noisy data. Comparisons are made between an improved
version of our test and both the ``tangent space'' and ``direct method'' for
computing the maximal Lyapunov exponent. The evidence of numerical experiments,
ranging from the logistic map to an eight-dimensional Lorenz system of
differential equations (the Lorenz 96 system), suggests that our method is
superior to tangent space methods and that it compares very favourably with
direct methods
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
Time lagged ordinal partition networks for capturing dynamics of continuous dynamical systems
We investigate a generalised version of the recently proposed ordinal
partition time series to network transformation algorithm. Firstly we introduce
a fixed time lag for the elements of each partition that is selected using
techniques from traditional time delay embedding. The resulting partitions
define regions in the embedding phase space that are mapped to nodes in the
network space. Edges are allocated between nodes based on temporal succession
thus creating a Markov chain representation of the time series. We then apply
this new transformation algorithm to time series generated by the R\"ossler
system and find that periodic dynamics translate to ring structures whereas
chaotic time series translate to band or tube-like structures -- thereby
indicating that our algorithm generates networks whose structure is sensitive
to system dynamics. Furthermore we demonstrate that simple network measures
including the mean out degree and variance of out degrees can track changes in
the dynamical behaviour in a manner comparable to the largest Lyapunov
exponent. We also apply the same analysis to experimental time series generated
by a diode resonator circuit and show that the network size, mean shortest path
length and network diameter are highly sensitive to the interior crisis
captured in this particular data set
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