Complex network approach to fractional time series

DOI10.1063/1.4930839zbMath1378.62078arXiv1512.08205OpenAlexW1913650225WikidataQ40371846 ScholiaQ40371846MaRDI QIDQ4591761

Pouya Manshour

Publication date: 17 November 2017

Published in: Chaos: An Interdisciplinary Journal of Nonlinear Science (Search for Journal in Brave)

Abstract: In order to extract correlation information inherited in stochastic time series, the visibility graph algorithm has been recently proposed, by which a time series can be mapped onto a complex network. We demonstrate that the visibility algorithm is not an appropriate one to study the correlation aspects of a time series. We then employ the horizontal visibility algorithm, as a much simpler one, to map fractional processes onto complex networks. The degree distributions are shown to have parabolic exponential forms with Hurst dependent fitting parameter. Further, we take into account other topological properties such as maximum eigenvalue of the adjacency matrix and the degree assortativity, and show that such topological quantities can also be used to predict the Hurst exponent, with an exception for anti-persistent fractional Gaussian noises. To solve this problem, we take into account the Spearman correlation coefficient between nodes' degrees and their corresponding data values in the original time series.

Full work available at URL: https://arxiv.org/abs/1512.08205

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Small world graphs, complex networks (graph-theoretic aspects) (05C82) Graph algorithms (graph-theoretic aspects) (05C85)

Cites Work

• Complex network approach for recurrence analysis of time series
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Related Items (7)

Structure-oriented prediction in complex networks ⋮ Mapping time series into signed networks via horizontal visibility graph ⋮ Could network analysis of horizontal visibility graphs be faithfully used to infer long-term memory properties in real-world time series? ⋮ Horizontal visibility graph of a random restricted growth sequence ⋮ Visibility network analysis of large-scale intermittency in convective surface layer turbulence ⋮ Nonlinear correlations in multifractals: Visibility graphs of magnitude and sign series ⋮ Multi-affine visible height correlation analysis for revealing rich structures of fractal time series

Uses Software

• astsa

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