论文标题
非线性依赖性的复发流量测量
Recurrence flow measure of nonlinear dependence
论文作者
论文摘要
复杂的现实世界系统中的耦合通常是非线性和比例依赖性的。在许多情况下,考虑多种相互联系的变量及其相关性的强度至关重要,以充分了解高维非线性系统的动力学。我们提出了一种基于复发的依赖度量,该措施根据其关节演化的可预测性来量化多个时间序列之间的关系。复发图(RPS)的统计分析是非线性时间序列分析中的一个有力框架,已证明可以有效解决许多基本问题,例如政权转移检测和耦合的识别。通过RP的复发流动在对角线的形成中利用伪像,这是RPS中的结构,反映了可预测动力学的周期。通过使用确定性单/多元系统的时间延迟变量,可以通过复发流量测量来捕获具有许多时间尺度的滞后依赖关系。给定RP,其计算不需要参数。我们展示了量化滞后非线性相关性的方法的范围,并将重点放在时间延迟嵌入中的延迟选择问题上,该问题通常用于吸引子重建。依赖的复发流量度量有助于识别不均匀的延迟,并成为基于复发状态空间重建算法的有前途的基础。
Couplings in complex real-world systems are often nonlinear and scale-dependent. In many cases, it is crucial to consider a multitude of interlinked variables and the strengths of their correlations to adequately fathom the dynamics of a high-dimensional nonlinear system. We propose a recurrence based dependence measure that quantifies the relationship between multiple time series based on the predictability of their joint evolution. The statistical analysis of recurrence plots (RPs) is a powerful framework in nonlinear time series analysis that has proven to be effective in addressing many fundamental problems, e.g., regime shift detection and identification of couplings. The recurrence flow through an RP exploits artifacts in the formation of diagonal lines, a structure in RPs that reflects periods of predictable dynamics. By using time-delayed variables of a deterministic uni-/multivariate system, lagged dependencies with potentially many time scales can be captured by the recurrence flow measure. Given an RP, no parameters are required for its computation. We showcase the scope of the method for quantifying lagged nonlinear correlations and put a focus on the delay selection problem in time-delay embedding which is often used for attractor reconstruction. The recurrence flow measure of dependence helps to identify non-uniform delays and appears as a promising foundation for a recurrence based state space reconstruction algorithm.