Adaptive, locally-linear models of complex dynamics

The dynamics of complex systems generally include high-dimensional, non-stationary and non-linear behavior, all of which pose fundamental challenges to quantitative understanding. To address these difficulties we detail a new approach based on local linear models within windows determined adaptively from the data. While the dynamics within each window are simple, consisting of exponential decay, growth and oscillations, the collection of local parameters across all windows provides a principled characterization of the full time series. To explore the resulting model space, we develop a novel likelihood-based hierarchical clustering and we examine the eigenvalues of the linear dynamics. We demonstrate our analysis with the Lorenz system undergoing stable spiral dynamics and in the standard chaotic regime. Applied to the posture dynamics of the nematode $C. elegans$ our approach identifies fine-grained behavioral states and model dynamics which fluctuate close to an instability boundary, and we detail a bifurcation in a transition from forward to backward crawling. Finally, we analyze whole-brain imaging in $C. elegans$ and show that the stability of global brain states changes with oxygen concentration.Comment: 25 pages, 16 figure

Adaptive identification and control of structural dynamics systems using recursive lattice filters

A new approach for adaptive identification and control of structural dynamic systems by using least squares lattice filters thar are widely used in the signal processing area is presented. Testing procedures for interfacing the lattice filter identification methods and modal control method for stable closed loop adaptive control are presented. The methods are illustrated for a free-free beam and for a complex flexible grid, with the basic control objective being vibration suppression. The approach is validated by using both simulations and experimental facilities available at the Langley Research Center

Linear processes in high-dimension: phase space and critical properties

In this work we investigate the generic properties of a stochastic linear model in the regime of high-dimensionality. We consider in particular the Vector AutoRegressive model (VAR) and the multivariate Hawkes process. We analyze both deterministic and random versions of these models, showing the existence of a stable and an unstable phase. We find that along the transition region separating the two regimes, the correlations of the process decay slowly, and we characterize the conditions under which these slow correlations are expected to become power-laws. We check our findings with numerical simulations showing remarkable agreement with our predictions. We finally argue that real systems with a strong degree of self-interaction are naturally characterized by this type of slow relaxation of the correlations.Comment: 40 pages, 5 figure

The connected brain: Causality, models and intrinsic dynamics

Recently, there have been several concerted international efforts - the BRAIN initiative, European Human Brain Project and the Human Connectome Project, to name a few - that hope to revolutionize our understanding of the connected brain. Over the past two decades, functional neuroimaging has emerged as the predominant technique in systems neuroscience. This is foreshadowed by an ever increasing number of publications on functional connectivity, causal modeling, connectomics, and multivariate analyses of distributed patterns of brain responses. In this article, we summarize pedagogically the (deep) history of brain mapping. We will highlight the theoretical advances made in the (dynamic) causal modelling of brain function - that may have escaped the wider audience of this article - and provide a brief overview of recent developments and interesting clinical applications. We hope that this article will engage the signal processing community by showcasing the inherently multidisciplinary nature of this important topic and the intriguing questions that are being addressed

Second order coherent power spectra

The relationship between second order stochastic processes and coherent power spectra are explored for developed grain size frequency distributions of silver halide emulsion/developer combinations. Although Wiener spectra represent incoherent power spectra, the coherent case has been unresolved due to the difficulty of filtering the optical system effect. The emulsion plates were exposed with a uniform irradiance distribution from an incoherent tungsten source to create a series of uniform density samples. Conventional processing chemistry is utilized with substitution of different developer types, from predominantly physical development to direct chemical development. The exposed and processed density samples were liquid gated with refractive index matching fluid and inserted at the front focal plane of a conventional on-axis Fourier transform system. The power spectra are ensemble and frequency domain averaged at the Fourier transform plane with a special annular ring detector. The coherent nature of the optical analyzer necessitates consideration of the interaction or interference of the power spectra for the optical system, and the spectra of the input transmittance sample. An algorithm was derived to estimate the power spectra of just the input grain distributions, which was applied to all of the measured spectra of the emulsion/developer combinations. The calculated spectra demonstrate significant power shifts from the low spatial frequency region with increasing power levels as a function of increasing developed grain size. The bandwidths of the power distributions are inversely proportional to developed grain size with the larger grains the predominant factor. The midpoints of the power spectra also shifted toward increasing spatial frequencies for decreasing values of developed grain size. The peak power levels for each emulsion/developer family were proportional to those predicted by the well known random checkerboard granularity model. Theoretical power spectra models are demonstrated for both second order and first order auto-regressive stochastic models. The second order process reveals a significant shift in the power distribution away from the low frequency region analogous to the calculated coherent power spectra. The power functions for the first order process are centered at zero spatial frequency, similar to conventional Wiener spectra. It is shown that a first order complex transmittance model transforms to the power spectra proportional to second-order stochastic processes when the real and imaginary parts are correlated. Although the filtered and measured coherent spectra are strongly dependent upon the developed grain size frequency distributions, the significant departure in shape and location of the spectra is related to the functional change from first order to second-order stochastic process characteristics

Fourier analysis of stationary time series in function space

We develop the basic building blocks of a frequency domain framework for drawing statistical inferences on the second-order structure of a stationary sequence of functional data. The key element in such a context is the spectral density operator, which generalises the notion of a spectral density matrix to the functional setting, and characterises the second-order dynamics of the process. Our main tool is the functional Discrete Fourier Transform (fDFT). We derive an asymptotic Gaussian representation of the fDFT, thus allowing the transformation of the original collection of dependent random functions into a collection of approximately independent complex-valued Gaussian random functions. Our results are then employed in order to construct estimators of the spectral density operator based on smoothed versions of the periodogram kernel, the functional generalisation of the periodogram matrix. The consistency and asymptotic law of these estimators are studied in detail. As immediate consequences, we obtain central limit theorems for the mean and the long-run covariance operator of a stationary functional time series. Our results do not depend on structural modelling assumptions, but only functional versions of classical cumulant mixing conditions, and are shown to be stable under discrete observation of the individual curves.Comment: Published in at http://dx.doi.org/10.1214/13-AOS1086 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org

Wavelet Multiresolution Analysis of High-Frequency Asian FX Rates, Summer 1997

FX pricing processes are nonstationary and their frequency characteristics are time-dependent. Most do not conform to geometric Brownian motion, since they exhibit a scaling law with a Hurst exponent between zero and 0.5 and fractal dimensions between 1.5 and 2. This paper uses wavelet multiresolution analysis, with Haar wavelets, to analyze the nonstationarity (time-dependence) and self-similarity (scale-dependence) of intra-day Asian currency spot exchange rates. These are the ask and bid quotes of the currencies of eight Asian countries (Japan, Hong Kong, Indonesia, Malaysia, Philippines, Singapore, Taiwan, Thailand), and of Germany for comparison, for the crisis period May 1, 1998 - August 31, 1997, provided by Telerate (U.S. dollar is the numeraire). Their time-scale dependent spectra, which are localized in time, are observed in wavelet based scalograms. The FX increments can be characterized by the irregularity of their singularities. This degrees of irregularity are measured by homogeneous Hurst exponents. These critical exponents are used to identify the fractal dimension, relative stability and long term dependence of each Asian FX series. The invariance of each identified Hurst exponent is tested by comparing it at varying time and scale (frequency) resolutions. It appears that almost all FX markets show anti-persistent pricing behavior. The anchor currencies of the D-mark and Japanese Yen are ultra-efficient in the sense of being most anti-persistent. The Taiwanese dollar is the most persistent, and thus unpredictable, most likely due to administrative control. FX markets exhibit these non- linear, non-Gaussian dynamic structures, long term dependence, high kurtosis, and high degrees of non-informational (noise) trading, possibly because of frequent capital flows induced by non-synchronized regional business cycles, rapidly changing political risks, unexpected informational shocks to investment opportunities, and, in particular, investment strategies synthesizing interregional claims using cash swaps with different duration horizons.foreign exchange markets, anti-persistence, long-term dependence, multi-resolution analysis, wavelets, time-scale analysis, scaling laws, irregularity analysis, randomness, Asia