Nonlinear projective filtering in a data stream

We introduce a modified algorithm to perform nonlinear filtering of a time series by locally linear phase space projections. Unlike previous implementations, the algorithm can be used not only for a posteriori processing but includes the possibility to perform real time filtering in a data stream. The data base that represents the phase space structure generated by the data is updated dynamically. This also allows filtering of non-stationary signals and dynamic parameter adjustment. We discuss exemplary applications, including the real time extraction of the fetal electrocardiogram from abdominal recordings.Comment: 8 page

The prediction of future from the past: an old problem from a modern perspective

The idea of predicting the future from the knowledge of the past is quite natural when dealing with systems whose equations of motion are not known. Such a long-standing issue is revisited in the light of modern ergodic theory of dynamical systems and becomes particularly interesting from a pedagogical perspective due to its close link with Poincar\'e's recurrence. Using such a connection, a very general result of ergodic theory - Kac's lemma - can be used to establish the intrinsic limitations to the possibility of predicting the future from the past. In spite of a naive expectation, predictability results to be hindered rather by the effective number of degrees of freedom of a system than by the presence of chaos. If the effective number of degrees of freedom becomes large enough, regardless the regular or chaotic nature of the system, predictions turn out to be practically impossible. The discussion of these issues is illustrated with the help of the numerical study of simple models.Comment: 9 pages, 4 figure

Analysis of Transient Processes in a Radiophysical Flow System

Transient processes in a third-order radiophysical flow system are studied and a map of the transient process duration versus initial conditions is constructed and analyzed. The results are compared to the arrangement of submanifolds of the stable and unstable cycles in the Poincare section of the system studied.Comment: 3 pages, 2 figure

Better Nonlinear Models from Noisy Data: Attractors with Maximum Likelihood

A new approach to nonlinear modelling is presented which, by incorporating the global behaviour of the model, lifts shortcomings of both least squares and total least squares parameter estimates. Although ubiquitous in practice, a least squares approach is fundamentally flawed in that it assumes independent, normally distributed (IND) forecast errors: nonlinear models will not yield IND errors even if the noise is IND. A new cost function is obtained via the maximum likelihood principle; superior results are illustrated both for small data sets and infinitely long data streams.Comment: RevTex, 11 pages, 4 figure

Validity of numerical trajectories in the synchronization transition of complex systems

We investigate the relationship between the loss of synchronization and the onset of shadowing breakdown {\it via} unstable dimension variability in complex systems. In the neighborhood of the critical transition to strongly non-hyperbolic behavior, the system undergoes on-off intermittency with respect to the synchronization state. There are potentially severe consequences of these facts on the validity of the computer-generated trajectories obtained from dynamical systems whose synchronization manifolds share the same non-hyperbolic properties.Comment: 4 pages, 4 figure

Time series irreversibility: a visibility graph approach

We propose a method to measure real-valued time series irreversibility which combines two differ- ent tools: the horizontal visibility algorithm and the Kullback-Leibler divergence. This method maps a time series to a directed network according to a geometric criterion. The degree of irreversibility of the series is then estimated by the Kullback-Leibler divergence (i.e. the distinguishability) between the in and out degree distributions of the associated graph. The method is computationally effi- cient, does not require any ad hoc symbolization process, and naturally takes into account multiple scales. We find that the method correctly distinguishes between reversible and irreversible station- ary time series, including analytical and numerical studies of its performance for: (i) reversible stochastic processes (uncorrelated and Gaussian linearly correlated), (ii) irreversible stochastic pro- cesses (a discrete flashing ratchet in an asymmetric potential), (iii) reversible (conservative) and irreversible (dissipative) chaotic maps, and (iv) dissipative chaotic maps in the presence of noise. Two alternative graph functionals, the degree and the degree-degree distributions, can be used as the Kullback-Leibler divergence argument. The former is simpler and more intuitive and can be used as a benchmark, but in the case of an irreversible process with null net current, the degree-degree distribution has to be considered to identifiy the irreversible nature of the series.Comment: submitted for publicatio

Behavior of Dynamical Systems in the Regime of Transient Chaos

The transient chaos regime in a two-dimensional system with discrete time (Eno map) is considered. It is demonstrated that a time series corresponding to this regime differs from a chaotic series constructed for close values of the control parameters by the presence of "nonregular" regions, the number of which increases with the critical parameter. A possible mechanism of this effect is discussed.Comment: 4 pages, 2 figure