Detecting dynamical changes in time series by using the Jensen Shannon divergence

DOI10.1063/1.4999613zbMATH Open1390.37134arXiv1702.08276OpenAlexW2610699102WikidataQ47323556 ScholiaQ47323556MaRDI QIDQ4644282FDOQ4644282

Diego M. Mateos, Leonardo E. Riveaud, Pedro W. Lamberti

Publication date: 30 May 2018

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

Abstract: Most of the time series in nature are a mixture of signals with deterministic and random dynamics. Thus the distinction between these two characteristics becomes important. Distinguishing between chaotic and aleatory signals is difficult because they have a common wide-band power spectrum, a delta-like autocorrelation function, and share other features as well. In general signals are presented as continuous records and require to be discretized for being analyzed. In this work we present different schemes for discretizing and for detection of dynamical changes in time series. One of the main motivations is to detect transition from chaotic regime to random regime. The tools used are originated in Information Theory. The schemes proposed are applied to simulated and real life signals, showing in all cases a high proficiency for detecting changes in the dynamics of the associated time series.

Full work available at URL: https://arxiv.org/abs/1702.08276

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Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10)

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Cited In (2)

• Monoparametric family of metrics derived from classical Jensen-Shannon divergence
• Generalized divergences from generalized entropies

Uses Software

• Dynamics

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