Fisher information framework for time series modeling

DOI10.1016/J.PHYSA.2017.02.076MaRDI QIDQ2145602zbMATH OpenOpenAlexFDO

Authors R. C. Venkatesan, A. Plastino

Publication date 17 June 2022

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1611.04333

zbMATH Keywords

Fisher informationLegendre transform structureMackey-Glass equationtime series predictionTakens theoremECG'squantum mechanical virial theoremworking hypothesis inference

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Measures of information, entropy (94A17) Closed and approximate solutions to the Schrödinger, Dirac, Klein-Gordon and other equations of quantum mechanics (81Q05)

Abstract: A robust prediction model invoking the Takens embedding theorem, whose extit{working hypothesis} is obtained via an inference procedure based on the minimum Fisher information principle, is presented. The coefficients of the ansatz, central to the extit{working hypothesis} satisfy a time independent Schr"{o}dinger-like equation in a vector setting. The inference of i) the probability density function of the coefficients of the extit{working hypothesis} and ii) the establishing of constraint driven pseudo-inverse condition for the modeling phase of the prediction scheme, is made, for the case of normal distributions, with the aid of the quantum mechanical virial theorem. The well-known reciprocity relations and the associated Legendre transform structure for the Fisher information measure (FIM, hereafter)-based model in a vector setting (with least square constraints) are self-consistently derived. These relations are demonstrated to yield an intriguing form of the FIM for the modeling phase, which defines the extit{working hypothesis}, solely in terms of the observed data. Cases for prediction employing time series' obtained from the: $(i)$ the Mackey-Glass delay-differential equation, $(ii)$ one ECG sample from the MIT-Beth Israel Deaconess Hospital (MIT-BIH) cardiac arrhythmia database, and $(iii)$ one ECG from the Creighton University ventricular tachyarrhythmia database. The ECG samples were obtained from the Physionet online repository. These examples demonstrate the efficiency of the prediction model. Numerical examples for exemplary cases are provided.

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Cited in

(3)

• Fisher information matrix of binary time series
• Clocks and Fisher information
• An explicit expression for the Fisher information matrix of a multiple time series process

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