Parameter-free quantification of stochastic and chaotic signals

DOI10.1016/J.CHAOS.2020.109616MaRDI QIDQ2120368zbMATH OpenOpenAlexWikidataFDO

Authors T. L. Prado, G. Z. dos S. Lima, S. R. Lopes, G. Corso, J. Kurths

Publication date 31 March 2022

Published in Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1905.02284

zbMATH Keywords

neural networknonlinear dynamicssynchronization

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Computational methods for ergodic theory (approximation of invariant measures, computation of Lyapunov exponents, entropy, etc.) (37M25) Signal theory (characterization, reconstruction, filtering, etc.) (94A12)

Abstract: Recurrence entropy $(calS)$ is a novel time series complexity quantifier based on recurrence microstates. Here we show that $mathsfmax(calS)$ is a extit{parameter-free} quantifier of time correlation of stochastic and chaotic signals, at the same time that it evaluates property changes of the probability distribution function (PDF) of the entire data set. $mathsfmax(calS)$ can distinguish distinct temporal correlations of stochastic signals following a power-law spectrum, $displaystyleP(f)propto1/f^{a}lpha$ even when shuffled versions of the signals are used. Such behavior is related to its ability to quantify distinct subsets embedded in a time series. Applied to a deterministic system, the method brings new evidence about attractor properties and the degree of chaoticity. The development of a new parameter-free quantifier of stochastic and chaotic time series opens new perspectives to stochastic data and deterministic time series analyses and may find applications in many areas of science.

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Cites work

• A new look at the statistical model identification
• Chaos
• Chaos in Dynamical Systems
• Correlated Brownian motion and diffusion of defects in spatially extended chaotic systems
• Estimating long-range dependence: Finite sample properties and confidence intervals
• Information Theory and Statistical Mechanics
• Invariant densities for piecewise linear maps of the unit interval
• Quantifying entropy using recurrence matrix microstates
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Cited in

(4)

• Efficient computation of recurrence quantification analysis via microstates
• Maximum entropy principle in recurrence plot analysis on stochastic and chaotic systems
• Quantifying entropy using recurrence matrix microstates
• Statistical inference for microstate distribution in recurrence plots

Describes a project that uses

Uses Software

• longmemo
• K2

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