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Register a new userAbout the parabolic relation existing between the skewness and the kurtosis in time series of experimental data
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In this work we investigate the origin of the parabolic relation between skewness and kurtosis often encountered in the analysis of experimental time-series. We argue that the numerical values of the coefficients of the curve may provide informations about the specific physics of the system studied, whereas the analytical curve per se is a fairly general consequence of a few constraints expected to hold for most systems.
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The process of collecting and organizing sets of observations represents a common theme throughout the history of science. However, despite the ubiquity of scientists measuring, recording, and analyzing the dynamics of different processes, an extensive organization of scientific time-series data and analysis methods has never been performed. Addressing this, annotated collections of over 35 000 real-world and model-generated time series and over 9000 time-series analysis algorithms are analyzed in this work. We introduce reduced representations of both time series, in terms of their properties measured by diverse scientific methods, and of time-series analysis methods, in terms of their behaviour on empirical time series, and use them to organize these interdisciplinary resources. This new approach to comparing across diverse scientific data and methods allows us to organize time-series datasets automatically according to their properties, retrieve alternatives to particular analysis methods developed in other scientific disciplines, and automate the selection of useful methods for time-series classification and regression tasks. The broad scientific utility of these tools is demonstrated on datasets of electroencephalograms, self-affine time series, heart beat intervals, speech signals, and others, in each case contributing novel analysis techniques to the existing literature. Highly comparative techniques that compare across an interdisciplinary literature can thus be used to guide more focused research in time-series analysis for applications across the scientific disciplines.
Data series generated by complex systems exhibit fluctuations on many time scales and/or broad distributions of the values. In both equilibrium and non-equilibrium situations, the natural fluctuations are often found to follow a scaling relation over several orders of magnitude, allowing for a characterisation of the data and the generating complex system by fractal (or multifractal) scaling exponents. In addition, fractal and multifractal approaches can be used for modelling time series and deriving predictions regarding extreme events. This review article describes and exemplifies several methods originating from Statistical Physics and Applied Mathematics, which have been used for fractal and multifractal time series analysis.
Starting from inhomogeneous time scaling and linear decorrelation between successive price returns, Baldovin and Stella recently proposed a way to build a model describing the time evolution of a financial index. We first make it fully explicit by using Student distributions instead of power law-truncated Levy distributions; we also show that the analytic tractability of the model extends to the larger class of symmetric generalized hyperbolic distributions and provide a full computation of their multivariate characteristic functions; more generally, the stochastic processes arising in this framework are representable as mixtures of Wiener processes. The Baldovin and Stella model, while mimicking well volatility relaxation phenomena such as the Omori law, fails to reproduce other stylized facts such as the leverage effect or some time reversal asymmetries. We discuss how to modify the dynamics of this process in order to reproduce real data more accurately.
The space-time representation of high-dimensional dynamical systems that have a well defined characteristic time scale has proven to be very useful to deepen the understanding of such systems and to uncover hidden features in their output signals. Genuine analogies between one-dimensional (1D) spatially extended systems (1D SESs) and time delayed systems (TDSs) have been observed, including similar pattern formation and propagation of localized structures. An open question is if such analogies are limited to the space-time representation, or, if it is possible to reconstruct similar attractors, from the time series of an observed variable. In this work we address this issue by considering a bistable 1D SES and two TDSs (a bistable system and a model of two lasers with time delayed coupling). In these three examples we find that we can reconstruct the underlying attractor in a three-dimensional pseudo-space, where the evolution is governed by a polynomial potential. We also discuss the limitations of the analogy between 1D SESs and TDSs.
Inductive inference is the process of extracting general rules from specific observations. This problem also arises in the analysis of biological networks, such as genetic regulatory networks, where the interactions are complex and the observations are incomplete. A typical task in these problems is to extract general interaction rules as combinations of Boolean covariates, that explain a measured response variable. The inductive inference process can be considered as an incompletely specified Boolean function synthesis problem. This incompleteness of the problem will also generate spurious inferences, which are a serious threat to valid inductive inference rules. Using random Boolean data as a null model, here we attempt to measure the competition between valid and spurious inductive inference rules from a given data set. We formulate two greedy search algorithms, which synthesize a given Boolean response variable in a sparse disjunct normal form, and respectively a sparse generalized algebraic normal form of the variables from the observation data, and we evaluate numerically their performance.
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