Harmonic decompositions of multivariate time series are considered for which
we adopt an integral operator approach with periodic semigroup kernels.
Spectral decomposition theorems are derived that cover the important cases of
two-time statistics drawn from a mixing invariant measure.
The corresponding eigenvalues can be grouped per Fourier frequency, and are
actually given, at each frequency, as the singular values of a cross-spectral
matrix depending on the data. These eigenvalues obey furthermore a variational
principle that allows us to define naturally a multidimensional power spectrum.
The eigenmodes, as far as they are concerned, exhibit a data-adaptive character
manifested in their phase which allows us in turn to define a multidimensional
phase spectrum.
The resulting data-adaptive harmonic (DAH) modes allow for reducing the
data-driven modeling effort to elemental models stacked per frequency, only
coupled at different frequencies by the same noise realization. In particular,
the DAH decomposition extracts time-dependent coefficients stacked by Fourier
frequency which can be efficiently modeled---provided the decay of temporal
correlations is sufficiently well-resolved---within a class of multilayer
stochastic models (MSMs) tailored here on stochastic Stuart-Landau oscillators.
Applications to the Lorenz 96 model and to a stochastic heat equation driven
by a space-time white noise, are considered. In both cases, the DAH
decomposition allows for an extraction of spatio-temporal modes revealing key
features of the dynamics in the embedded phase space. The multilayer
Stuart-Landau models (MSLMs) are shown to successfully model the typical
patterns of the corresponding time-evolving fields, as well as their statistics
of occurrence.Comment: 26 pages, double columns; 15 figure