基于条件熵扩维的多变量混沌时间序列相空间重构

提出一种多变量混沌时间序列相空间重构的条件熵扩维方法.首先使用互信息法求解每个变量的时间延迟,其次按条件熵最大原则逐步扩展相空间的嵌入维数,使得重构坐标从低维到高维的转换保持较强的独立性,最终的重构相空间具有较低的冗余度,为多变量时间序列的预测构造了有效的模型输入向量.通过对几个经典多变量混沌时间序列进行数值实验,结果表明该方法比单变量预测和已有多变量预测方法具有更好的预测效果,说明了该重构方法的有效性. 关键词： 多变量混沌时间序列 相空间重构 条件熵 神经网络预测     

Analyzing multiple nonlinear time series with extended Granger causality

Identifying causal relations among simultaneously acquired signals is an important problem in multivariate time series analysis. For linear stochastic systems Granger proposed a simple procedure called the Granger causality to detect such relations. In this work we consider nonlinear extensions of Granger's idea and refer to the result as extended Granger causality. A simple approach implementing the extended Granger causality is presented and applied to multiple chaotic time series and other types of nonlinear signals. In addition, for situations with three or more time series we propose a conditional extended Granger causality measure that enables us to determine whether the causal relation between two signals is direct or mediated by another process.     

Ordinal Pattern Dependence in the Context of Long-Range Dependence

Ordinal pattern dependence is a multivariate dependence measure based on the co-movement of two time series. In strong connection to ordinal time series analysis, the ordinal information is taken into account to derive robust results on the dependence between the two processes. This article deals with ordinal pattern dependence for a long-range dependent time series including mixed cases of short- and long-range dependence. We investigate the limit distributions for estimators of ordinal pattern dependence. In doing so, we point out the differences that arise for the underlying time series having different dependence structures. Depending on these assumptions, central and non-central limit theorems are proven. The limit distributions for the latter ones can be included in the class of multivariate Rosenblatt processes. Finally, a simulation study is provided to illustrate our theoretical findings.     

A conditional Granger causality model approach for group analysis in functional magnetic resonance imaging

Granger causality model (GCM) derived from multivariate vector autoregressive models of data has been employed to identify effective connectivity in the human brain with functional magnetic resonance imaging (fMRI) and to reveal complex temporal and spatial dynamics underlying a variety of cognitive processes. In the most recent fMRI effective connectivity measures, pair-wise GCM has commonly been applied based on single-voxel values or average values from special brain areas at the group level. Although a few novel conditional GCM methods have been proposed to quantify the connections between brain areas, our study is the first to propose a viable standardized approach for group analysis of fMRI data with GCM. To compare the effectiveness of our approach with traditional pair-wise GCM models, we applied a well-established conditional GCM to preselected time series of brain regions resulting from general linear model (GLM) and group spatial kernel independent component analysis of an fMRI data set in the temporal domain. Data sets consisting of one task-related and one resting-state fMRI were used to investigate connections among brain areas with the conditional GCM method. With the GLM-detected brain activation regions in the emotion-related cortex during the block design paradigm, the conditional GCM method was proposed to study the causality of the habituation between the left amygdala and pregenual cingulate cortex during emotion processing. For the resting-state data set, it is possible to calculate not only the effective connectivity between networks but also the heterogeneity within a single network. Our results have further shown a particular interacting pattern of default mode network that can be characterized as both afferent and efferent influences on the medial prefrontal cortex and posterior cingulate cortex. These results suggest that the conditional GCM approach based on a linear multivariate vector autoregressive model can achieve greater accuracy in detecting network connectivity than the widely used pair-wise GCM, and this group analysis methodology can be quite useful to extend the information obtainable in fMRI.     

基于多路可视图的健康与心梗患者心电图信号复杂网络识别

可视图(visibility graph, VG)算法已被证明是将时间序列转换为复杂网络的简单且高效的方法,其构成的复杂网络在拓扑结构中继承了原始时间序列的动力学特性.目前,单维时间序列的可视图分析已趋于成熟,但应用于复杂系统时,单变量往往无法描述系统的全局特征.本文提出一种新的多元时间序列分析方法,将心梗和健康人的12导联心电图(electrocardiograph, ECG)信号转换为多路可视图,以每个导联为一个节点,两个导联构成可视图的层间互信息为连边权重,将其映射到复杂网络.由于不同人群的全连通网络表现为完全相同的拓扑结构,无法唯一表征不同个体的动力学特征,根据层间互信息大小重构网络,提取权重度和加权聚类系数,实现对不同人群12导联ECG信号的识别.为判断序列长度对识别效果的影响,引入多尺度权重度分布熵.由于健康受试者拥有更高的平均权重度和平均加权聚类系数,其映射网络表现为更加规则的结构、更高的复杂性和连接性,可以与心梗患者进行区分,两个参数的识别准确率均达到93.3%.     

A suggested statistical test for measuring bivariate nonlinear dependence

We devise a new asymptotic statistical test to assess independence in bivariate continuous distributions. Our approach is based on the Cramér–von Mises test, in which the empirical process is viewed as the Kullback–Leibler divergence, that is, as the distance between the data under the independence hypothesis and the data empirically observed. We derive the theoretical characteristic function of the limit distribution of the test statistic and find the critical values through computer simulation. A Monte Carlo experiment is considered as assessing the validation and power performance of the test by assuming a bivariate nonlinear dependence structure with fat tails. Two extra examples, respectively, consider stationary and conditionally nonstationary series. Results confirm that our suggested test is consistent and powerful in the presence of bivariate nonlinear dependence even if the environment is non-Gaussian. Our case is illustrated with high-frequency data from stocks listed on the NYSE that recently experienced so-called mini-flash crashes.     

Generalized Multivariate Singular Spectrum Analysis for Nonlinear Time Series De-Noising and Prediction

Singular spectrum analysis and its multivariate or multichannel singular spectrum analysis(MSSA)variant are effective methods for time series representation,denoising and prediction,with broad application in many fields.However,a key element in MSSA is singular value decomposition of a high-dimensional matrix stack of component matrices,where the spatial(structural)information among multivariate time series is lost or distorted.This vector-space model also leads to difficulties including high dimensionality,small sample size,and numerical instability when applied to multi-dimensional time series.We present a generalized multivariate singular spectrum analysis(GMSSA)method to simultaneously decompose multivariate time series into constituent components,which can overcome the limitations of conventional multivariate singular spectrum analysis.In addition,we propose a Samp En-based method to determine the dominant components in GMSSA.We demonstrate the effectiveness and efficiency of GMSSA to simultaneously de-noise multivariate time series for attractor reconstruction,and to predict both simulated and real-world multivariate noisy time series.     

Frequency domain analysis and identification of block-oriented nonlinear systems

Block-oriented nonlinear models including Wiener models, Hammerstein models and Wiener-Hammerstein models, etc. have been extensively applied in practice for system identification, signal processing and control. In this study, analytical frequency response functions including generalized frequency response functions (GFRFs) and nonlinear output spectrum of block-oriented nonlinear systems are developed, which can demonstrate clearly the relationship between frequency response functions and model parameters, and also the dependence of frequency response functions on the linear part of the model. The nonlinear part of these models can be a more general multivariate polynomial function. These fundamental results provide a significant insight into the analysis and design of block-oriented nonlinear systems. Effective algorithms are therefore proposed for the estimation of nonlinear output spectrum and for parametric or nonparametric identification of nonlinear systems. Compared with some existing frequency domain identification methods, the new estimation algorithms do not necessarily require model structure information, not need the invertibility of the nonlinearity and not restrict to harmonic inputs. Simulation examples are given to illustrate these new results.     

Memory and Markov Blankets

In theoretical biology, we are often interested in random dynamical systems—like the brain—that appear to model their environments. This can be formalized by appealing to the existence of a (possibly non-equilibrium) steady state, whose density preserves a conditional independence between a biological entity and its surroundings. From this perspective, the conditioning set, or Markov blanket, induces a form of vicarious synchrony between creature and world—as if one were modelling the other. However, this results in an apparent paradox. If all conditional dependencies between a system and its surroundings depend upon the blanket, how do we account for the mnemonic capacity of living systems? It might appear that any shared dependence upon past blanket states violates the independence condition, as the variables on either side of the blanket now share information not available from the current blanket state. This paper aims to resolve this paradox, and to demonstrate that conditional independence does not preclude memory. Our argument rests upon drawing a distinction between the dependencies implied by a steady state density, and the density dynamics of the system conditioned upon its configuration at a previous time. The interesting question then becomes: What determines the length of time required for a stochastic system to ‘forget’ its initial conditions? We explore this question for an example system, whose steady state density possesses a Markov blanket, through simple numerical analyses. We conclude with a discussion of the relevance for memory in cognitive systems like us.     

Causality detection based on information-theoretic approaches in time series analysis

Synchronization, a basic nonlinear phenomenon, is widely observed in diverse complex systems studied in physical, biological and other natural sciences, as well as in social sciences, economy and finance. While studying such complex systems, it is important not only to detect synchronized states, but also to identify causal relationships (i.e. who drives whom) between concerned (sub) systems. The knowledge of information-theoretic measures (i.e. mutual information, conditional entropy) is essential for the analysis of information flow between two systems or between constituent subsystems of a complex system. However, the estimation of these measures from a set of finite samples is not trivial. The current extensive literatures on entropy and mutual information estimation provides a wide variety of approaches, from approximation-statistical, studying rate of convergence or consistency of an estimator for a general distribution, over learning algorithms operating on partitioned data space to heuristical approaches. The aim of this paper is to provide a detailed overview of information theoretic approaches for measuring causal influence in multivariate time series and to focus on diverse approaches to the entropy and mutual information estimation.     

Quasi-periodic solutions and asymptotic properties for the nonlocal Boussinesq equation

We construct the Hirota bilinear form of the nonlocal Boussinesq(nlBq) equation with four arbitrary constants for the first time. It is special because one arbitrary constant appears with a bilinear operator together in a product form. A straightforward method is presented to construct quasiperiodic wave solutions of the nl Bq equation in terms of Riemann theta functions. Due to the specific dispersion relation of the nl Bq equation, relations among the characteristic parameters are nonlinear, then the linear method does not work for them. We adopt the perturbation method to solve the nonlinear relations among parameters in the form of series. In fact, the coefficients of the governing equations are also in series form.The quasiperiodic wave solutions and soliton solutions are given. The relations between the periodic wave solutions and the soliton solutions have also been established and the asymptotic behaviors of the quasiperiodic waves are analyzed by a limiting procedure.     

Minimum entropy density method for the time series analysis

The entropy density is an intuitive and powerful concept to study the complicated nonlinear processes derived from physical systems. We develop the minimum entropy density method (MEDM) to detect the structure scale of a given time series, which is defined as the scale in which the uncertainty is minimized, hence the pattern is revealed most. The MEDM is applied to the financial time series of Standard and Poor’s 500 index from February 1983 to April 2006. Then the temporal behavior of structure scale is obtained and analyzed in relation to the information delivery time and efficient market hypothesis.     

Bootstrapping multifractals: surrogate data from random cascades on wavelet dyadic trees

A method for random resampling of time series from multiscale processes is proposed. Bootstrapped series--realizations of surrogate data obtained from random cascades on wavelet dyadic trees--preserve the multifractal properties of input data, namely, interactions among scales and nonlinear dependence structures. The proposed approach opens the possibility for rigorous Monte Carlo testing of nonlinear dependence within, with, between, or among time series from multifractal processes.     

基于信息熵优化相空间重构参数的混沌时间序列预测

提出一种混沌时间序列相空间重构参数的信息熵优化方法(IEOP),该方法首先使用条件熵表示信息量,建立时间延迟和嵌入维数在相空间中的信息熵优化模型,然后利用遗传算法同时求解两个重构参数,使重构坐标间既保持了良好的独立性又保留了原系统的动力学特征.通过在Lorenz和Mackey-Glass系统上的数值实验,该方法不仅能够确定合适的嵌入维数和时间延迟,而且能在优化的相空间中获得更多的信息,提高了混沌时间序列的预测精度.     

Inverse problem for multivariate time series using dynamical latent variables

Factor analysis is a well known statistical method to describe the variability among observed variables in terms of a smaller number of unobserved latent variables called factors. While dealing with multivariate time series, the temporal correlation structure of data may be modeled by including correlations in latent factors, but a crucial choice is the covariance function to be implemented. We show that analyzing multivariate time series in terms of latent Gaussian processes, which are mutually independent but with each of them being characterized by exponentially decaying temporal correlations, leads to an efficient implementation of the expectation–maximization algorithm for the maximum likelihood estimation of parameters, due to the properties of block-tridiagonal matrices. The proposed approach solves an ambiguity known as the identifiability problem, which renders the solution of factor analysis determined only up to an orthogonal transformation. Samples with just two temporal points are sufficient for the parameter estimation: hence the proposed approach may be applied even in the absence of prior information about the correlation structure of latent variables by fitting the model to pairs of points with varying time delay. Our modeling allows one to make predictions of the future values of time series and we illustrate our method by applying it to an analysis of published gene expression data from cell culture HeLa.     

The Generalized Uncertainty Principle

The uncertainty principle lies at the heart of quantum physics, and is widely thought of as a fundamental limit of the measurement precision of incompatible observables. Here it is shown that the traditional uncertainty relation in fact belongs to the leading order approximation of a generalized uncertainty relation. That is, the leading order linear dependence of observables gives the Heisenberg type of uncertainty relations, while higher order nonlinear dependence may reveal more different and interesting correlation properties. Applications of the generalized uncertainty relation and the high order nonlinear dependence between observables in quantum information science are also discussed.     

Whitening as a Tool for Estimating Mutual Information in Spatiotemporal Data Sets

We address the issue of inferring the connectivity structure of spatially extended dynamical systems by estimation of mutual information between pairs of sites. The well-known problems resulting from correlations within and between the time series are addressed by explicit temporal and spatial modelling steps which aim at approximately removing all spatial and temporal correlations, i.e. at whitening the data, such that it is replaced by spatiotemporal innovations; this approach provides a link to the maximum-likelihood method and, for appropriately chosen models, removes the problem of estimating probability distributions of unknown, possibly complicated shape. A parsimonious multivariate autoregressive model based on nearest-neighbour interactions is employed. Mutual information can be reinterpreted in the framework of dynamical model comparison (i.e. likelihood ratio testing), since it is shown to be equivalent to the difference of the log-likelihoods of coupled and uncoupled models for a pair of sites, and a parametric estimator of mutual information can be derived. We also discuss, within the framework of model comparison, the relationship between the coefficient of linear correlation and mutual information. The practical application of this methodology is demonstrated for simulated multivariate time series generated by a stochastic coupled-map lattice. The parsimonious modelling approach is compared to general multivariate autoregressive modelling and to Independent Component Analysis (ICA).     

基于数据融合的多变量相空间重构方法

针对单变量时间序列和多变量时间序列相空间重构所存在的问题,提出一种新的多变量融合的相空间重构方法. 通过Bayes估计理论,将多变量在同一相空间中进行相点的最优融合,得到了更为理想的融合相空间. 应用所提出的方法对Lorenz系统及耦合Rssler系统进行了多变量融合的相空间重构. 通过多变量重构图与单变量重构图的比较,发现基于数据融合的多变量相空间重构图包含了所有单变量相空间重构图的重要信息,使重构的相空间更加完备,较全面地反映出吸引子的全貌信息. 最后应用该方法对转子油膜涡动故障得到的多变量时间序列 关键词： 多变量时间序列 相空间重构 数据融合 Bayes估计     

基于极端学习机的多变量混沌时间序列预测

针对多变量混沌时间序列预测问题, 提出了一种基于输入变量选择和极端学习机的预测模型. 其基本思想是 对多变量混沌时间序列进行相空间重构后, 采用互信息方法选择与预测输出统计相关最高的重构输入变量, 借助极端学习机的通用逼近能力建立多变量混沌时间序列的预测模型. 为进一步提高预测精度, 采用模型选择算法选择具有最小期望风险的极端学习机预测模型. 基于Lorenz, Rössler多变量混沌时间序列及Rössler超混沌时间序列的仿 真结果证明所提方法的有效性.     

Map for Simultaneous Measurements for a Quantum Logic

In this paper we will study a function of simultaneous measurements for quantum events (s-map) which will be compared with the conditional states on an orthomodular lattice as a basic structure for quantum logic. We will show the connection between s-map and a conditional state. On the basis of the Rényi approach to the conditioning, conditional states, and the independence of events with respect to a state are discussed. Observe that their relation of independence of events is not more symmetric contrary to the standard probabilistic case. Some illustrative examples are included.