An early warning system for multivariate time series with sparse and non-uniform sampling

Abstract

In this paper we propose a new early warning test statistic, the ratio of deviations (RoD), which is defined to be the root mean squared of successive differences divided by the standard deviation. We show that RoD and autocorrelation are asymptotically related, and this relationship motivates the use of RoD to predict Hopf bifurcations in multivariate systems before they occur. We validate the use of RoD on synthetic data in the novel situation where the data is sparse and non-uniformly sampled. Additionally, we adapt the method to be used on high-frequency time series by sampling, and demonstrate the proficiency of RoD as a classifier.Comment: 14 pages, 8 figure