Interdisciplinary application of nonlinear time series methods

This paper reports on the application to field measurements of time series methods developed on the basis of the theory of deterministic chaos. The major difficulties are pointed out that arise when the data cannot be assumed to be purely deterministic and the potential that remains in this situation is discussed. For signals with weakly nonlinear structure, the presence of nonlinearity in a general sense has to be inferred statistically. The paper reviews the relevant methods and discusses the implications for deterministic modeling. Most field measurements yield nonstationary time series, which poses a severe problem for their analysis. Recent progress in the detection and understanding of nonstationarity is reported. If a clear signature of approximate determinism is found, the notions of phase space, attractors, invariant manifolds, etc., provide a convenient framework for time series analysis. Although the results have to be interpreted with great care, superior performance can be achieved for typical signal processing tasks. In particular, prediction and filtering of signals are discussed, as well as the classification of system states by means of time series recordings.     

On the evidence of deterministic chaos in ECG: Surrogate and predictability analysis

The question whether the human cardiac system is chaotic or not has been an open one. Recent results in chaos theory have shown that the usual methods, such as saturation of correlation dimension D(2) or the existence of positive Lyapunov exponent, alone do not provide sufficient evidence to confirm the presence of deterministic chaos in an experimental system. The results of surrogate data analysis together with the short-term prediction analysis can be used to check whether a given time series is consistent with the hypothesis of deterministic chaos. In this work nonlinear dynamical tools such as surrogate data analysis, short-term prediction, saturation of D(2) and positive Lyapunov exponent have been applied to measured ECG data for several normal and pathological cases. The pathology presently studied are PVC (Premature Ventricular Contraction), VTA (Ventricular Tachy Arrhythmia), AV (Atrio-Ventricular) block and VF (Ventricular Fibrillation). While these results do not prove that ECG time series is definitely chaotic, they are found to be consistent with the hypothesis of chaotic dynamics. (c) 1998 American Institute of Physics.     

Quantification of fetal heart rate regularity using symbolic dynamics

Fetal heart rate complexity was examined on the basis of RR interval time series obtained in the second and third trimester of pregnancy. In each fetal RR interval time series, short term beat-to-beat heart rate changes were coded in 8 bit binary sequences. Redundancies of the 2(8) different binary patterns were reduced by two different procedures. The complexity of these sequences was quantified using the approximate entropy (ApEn), resulting in discrete ApEn values which were used for classifying the sequences into 17 pattern sets. Also, the sequences were grouped into 20 pattern classes with respect to identity after rotation or inversion of the binary value. There was a specific, nonuniform distribution of the sequences in the pattern sets and this differed from the distribution found in surrogate data. In the course of gestation, the number of sequences increased in seven pattern sets, decreased in four and remained unchanged in six. Sequences that occurred less often over time, both regular and irregular, were characterized by patterns reflecting frequent beat-to-beat reversals in heart rate. They were also predominant in the surrogate data, suggesting that these patterns are associated with stochastic heart beat trains. Sequences that occurred more frequently over time were relatively rare in the surrogate data. Some of these sequences had a high degree of regularity and corresponded to prolonged heart rate accelerations or decelerations which may be associated with directed fetal activity or movement or baroreflex activity. Application of the pattern classes revealed that those sequences with a high degree of irregularity correspond to heart rate patterns resulting from complex physiological activity such as fetal breathing movements. The results suggest that the development of the autonomic nervous system and the emergence of fetal behavioral states lead to increases in not only irregular but also regular heart rate patterns. Using symbolic dynamics to examine the cardiovascular system may thus lead to new insight with respect to fetal development.     

用一种少参数非线性自适应滤波器自适应预测低维混沌时间序列

基于混沌动力系统的相空间延迟坐标重构,利用混沌序列固有的确定性和非线性,提出了用 于混沌时间序列预测的一种少参数非线性自适应滤波预测模型.该预测模型在Volterra自适 应滤波器的基础上引入sigmoid函数来减少待定参数.实验研究表明,这种少参数非线性自适 应滤波预测器仅需用50个样本经20次预训练后,就能有效地预测一些低维混沌序列,且这种 少参数非线性自适应滤波预测器更便于工程实现. 关键词： 混沌 非线性自适应预测 少参数非线性自适应滤波器 自适应算法     

Algorithms for generating surrogate data for sparsely quantized time series

The method of surrogate data is frequently used for a statistical examination of nonlinear properties underlying original data. If surrogate data sets are generated by a null hypothesis that the data are derived by a linear process, a rejection of the hypothesis means that the original data have more complex properties. However, we found that if an algorithm for generating surrogate data, for example, amplitude adjusted Fourier transformed, is applied to sparsely quantized data, there are large discrepancies between their power spectrum and that of the original data in lower frequency regions. We performed some simulations to confirm that these errors often lead to false rejections.In this paper, in order to prevent such drawbacks, we advance an extended hypothesis, and propose two improved algorithms for generating surrogate data that reduce the discrepancies of the power spectra. We also confirm the validity of the two improved algorithms with numerical simulations by showing that the extended null hypothesis can be rejected if the time series is produced from chaotic dynamical systems. Finally, we applied these algorithms for analyzing financial tick data as a real example; then we showed that the extended null hypothesis cannot be rejected because the nonlinear statistics or nonlinear prediction errors exhibited are the same as those of the original financial tick time series.     

心率变异性谱成分的非线性本质

提出了分频段相位随机化替代数据方法,与噪声滴定法相结合,观察了不同频率成分对心搏混沌的影响.结果显示心率变异性高频成分相位随机化的替代数据使混沌强度显著降低,提示谱分析的频率成分中蕴含着信号的非线性特性.提出的方法能有效分析不同频率成分对非线性的贡献,该法不仅适用于心率变异性还适用于其他确定性信号的特性分析. 关键词： 分频段相位随机化替代数据 混沌 滴定法 心率变异性     

Testing the assumptions of linear prediction analysis in normal vowels

In this paper we develop an improved surrogate data test to show experimental evidence, for all the simple vowels of U.S. English, for both male and female speakers, that Gaussian linear prediction analysis, a ubiquitous technique in current speech technologies, cannot be used to extract all the dynamical structure of real speech time series. The test provides robust evidence undermining the validity of these linear techniques, supporting the assumptions of either dynamical nonlinearity and/or non-Gaussianity common to more recent, complex, efforts at dynamical modeling speech time series. However, an additional finding is that the classical assumptions cannot be ruled out entirely, and plausible evidence is given to explain the success of the linear Gaussian theory as a weak approximation to the true, nonlinear/non-Gaussian dynamics. This supports the use of appropriate hybrid linear/nonlinear/non-Gaussian modeling. With a calibrated calculation of statistic and particular choice of experimental protocol, some of the known systematic problems of the method of surrogate data testing are circumvented to obtain results to support the conclusions to a high level of significance.     

Detecting anomalous phase synchronization from time series

Modeling approaches are presented for detecting an anomalous route to phase synchronization from time series of two interacting nonlinear oscillators. The anomalous transition is characterized by an enlargement of the mean frequency difference between the oscillators with an initial increase in the coupling strength. Although such a structure is common in a large class of coupled nonisochronous oscillators, prediction of the anomalous transition is nontrivial for experimental systems, whose dynamical properties are unknown. Two approaches are examined; one is a phase equational modeling of coupled limit cycle oscillators and the other is a nonlinear predictive modeling of coupled chaotic oscillators. Application to prototypical models such as two interacting predator-prey systems in both limit cycle and chaotic regimes demonstrates the capability of detecting the anomalous structure from only a few sets of time series. Experimental data from two coupled Chua circuits shows its applicability to real experimental system.     

基于模糊模型的混沌时间序列预测

对于复杂、病态、非线性动态系统，基于模糊集合的模糊模型，利用模糊推理规则描述动态系统的特性，是一种有效方法.讨论了利用模糊建模方法实现非线性系统的建模和预测.首先，利用在线模糊竞争学习方法划分输入变量的模糊输入空间，然后利用卡尔曼滤波算法估计模糊模型的参数.采用该方法对Mackey Glass混沌时间序列进行预测试验，结果表明利用本方法可以在线或者离线能对Mackey Glass混沌时间序列进行准确预测，证明了本方法的有效性. 关键词： 模糊竞争学习 混沌时间序列 卡尔曼滤波     

Detecting synchronizations in an asymmetric vocal fold model from time series data

A nonlinear modeling approach is presented for the reconstruction of the synchronization structure in an asymmetric two-mass model from time series data. The asymmetric two-mass model describes a variety of normal and pathological human voices associated with synchronous and desynchronous oscillations of the two asymmetric vocal folds. Our technique recovers the synchronization diagram, which yields the regimes of synchronization as well as desynchronization, which are dependent upon the asymmetry parameter and the subglottal pressure. This allows the prediction of the regime of pathological phonation associated with desynchronization of the vocal folds from a few sets of recorded time series. It is shown that the modeling is quite effective when the time series data are chaotic and if they are taken from a regime of desynchronization. We discuss the applicability of the present approach as a diagnostic tool for voice pathologies.     

Public channel cryptography: chaos synchronization and Hilbert's tenth problem

The synchronization process of two mutually delayed coupled deterministic chaotic maps is demonstrated both analytically and numerically. The synchronization is preserved when the mutually transmitted signals are concealed by two commutative private filters, a convolution of the truncated time-delayed output signals or some powers of the delayed output signals. The task of a passive attacker is mapped onto Hilbert's tenth problem, solving a set of nonlinear Diophantine equations, which was proven to be in the class of NP-complete problems [problems that are both NP (verifiable in nondeterministic polynomial time) and NP-hard (any NP problem can be translated into this problem)]. This bridge between nonlinear dynamics and NP-complete problems opens a horizon for new types of secure public-channel protocols.     

皮层脑电时间序列的相空间重构及非线性特征量的提取

对麻醉的SD大鼠在癫痫发作前后两种状态的皮层脑电(ECoG)的时间序列,用多种有效的方法和分析技术,使得大量的ECoG时间序列得以正确的分析,并得出重要的结论.首先利用延时坐标法重构吸引子;计算互信息函数,取互信息函数第一次达到最小值的延时为重构延时时间,提出将伪邻点法和Cao法相结合的方法确定最佳嵌入维数.然后采用非线性预报和替代数据法相结合的方法确定ECoG为混沌时间序列,从不同角度得出了ECoG不是低维混沌的结论.在ECoG相空间重构的基础上,计算了最大Lyapunov指数(LLE).应用了近似熵这一标量对ECoG进行刻画,计算结果表明:癫痫发作前的皮层脑电的最大Lyapunov指数和近似熵都明显地高于癫痫发作后的,这可能为理解癫痫发病机理,预报癫痫发作和治疗提供一定的思路. 关键词： 皮层脑电 互信息 伪邻点法 最大Lyapunov指数 近似熵     

On the Variability of Heart Rate Variability—Evidence from Prospective Study of Healthy Young College Students

Heart rate variability (HRV) has been widely used as indices for autonomic regulation, including linear analyses, entropy and multi-scale entropy based nonlinear analyses, and however, it is strongly influenced by the conditions under which the signal is being recorded. To investigate the variability of healthy HRV under different settings, we recorded electrocardiograph (ECG) signals from 56 healthy young college students (20 h for each participant) at campus using wearable single-lead ECG device. Accurate R peak to R peak (RR) intervals were extracted by combing the advantages of five commonly used R-peak detection algorithms to eliminate data quality influence. Thorough and detailed linear and nonlinear HRV analyses were performed. Variability of HRV metrics were evaluated from five categories: (1) different states of daily activities; (2) different recording time period in the same day during free-running daily activities; (3) body postures of sitting and lying; (4) lying on the left, right and back; and (5) gender influence. For most of the analyzed HRV metrics, significant differences (p < 0.05) were found among different recording conditions within the five categories except lying on different positions. Results suggested that the standardization of ECG data collection and HRV analysis should be implemented in HRV related studies, especially for entropy and multi-scale entropy based analyses. Furthermore, this preliminary study provides reference values of HRV indices under various recording conditions of healthy young subjects that could be useful information for different applications (e.g., health monitoring and management).     

Conditional independence graph for nonlinear time series and its application to international financial markets

Conditional independence graphs are proposed for describing the dependence structure of multivariate nonlinear time series, which extend the graphical modeling approach based on partial correlation. The vertexes represent the components of a multivariate time series and edges denote direct dependence between corresponding series. The conditional independence relations between component series are tested efficiently and consistently using conditional mutual information statistics and a bootstrap procedure. Furthermore, a method combining information theory with surrogate data is applied to test the linearity of the conditional dependence. The efficiency of the methods is approved through simulation time series with different linear and nonlinear dependence relations. Finally, we show how the method can be applied to international financial markets to investigate the nonlinear independence structure.     

颠倒睡眠状态调制心率变异性信号的功率谱和基本尺度熵分析

心率变异性(HRV)信号能够提供心脏活动状态的重要信息.通过建立颠倒睡眠模型,联合功率谱和基本尺度熵方法分析颠倒睡眠状态下24 h的HRV信号,研究颠倒睡眠对自主神经相互作用以及HRV信号混沌强度的调制.结果表明,颠倒睡眠导致自主神经在昼夜间的活动节律发生颠倒,基本尺度熵在昼夜的变化趋势也随之发生逆转,因此HRV信号的混沌强度与自主神经的相互作用密切相关,进一步研究两者之间的关系发现:HRV信号的混沌强度与交感神经的调制强度正相关,与迷走神经的调制强度负相关.     

异常心电节律VT和VF信号的复杂性分析

在替代随机数据假设检验的基础上,提出了针对确定性混沌信号的改进非线性算法,并应用于心脏中的异常节律心电信号分析.指出：室性心动过速(VT)和心室纤颤(VF)是不同于随机信号的,是具有复杂非线性特性的混沌信号.进而在信号定性分析的基础上,从非线性动力学的角度,提出新的复杂度和复杂率的定义和相关的检测方法,对VT和VF进行了定量分析.结果表明,异常心电节律VT和VF信号的定性和定量分析是客观的和准确可靠的. 关键词： 复杂离散度 Lempel-Ziv复杂度 复杂率 平均复杂度 复杂饱和度     

From nonlinearity to causality: statistical testing and inference of physical mechanisms underlying complex dynamics

Principles and applications of statistical testing as a tool for inference of underlying mechanisms from experimental time series are discussed. The computational realizations of the test null hypothesis known as the surrogate data are introduced within the context of discerning nonlinear dynamics from noise, and discussed in examples of testing for nonlinearity in atmospheric dynamics, solar cycle and brain signals. The concept is further generalized for detection of directional interactions, or causality in bivariate time series.     

Low dimensional chaos in the AT and GC skew profiles of DNA sequences

This paper investigates the existence of low-dimensional deterministic chaos in the AT and GC skew profiles of DNA sequences. It has taken DNA sequences from eight organisms as samples. The skew profiles are analysed using continuous wavelet transform and then nonlinear time series methods. The invariant measures of correlation dimension and the largest Lyapunov exponent are calculated. It is demonstrated that the AT and GC skew profiles of these DNA sequences all exhibit low dimensional chaotic behaviour. It suggests that chaotic properties may be ubiquitous in the DNA sequences of all organisms.     

基于非线性预测效果的癫痫脑电信号的特征提取方法

在非线性时间序列预测研究的基础上,提出了基于非线性预测效果的癫痫脑电信号特征提取方法,从脑电信号中自动检测出癫痫脑电信号.采用基于可预测性的选取嵌入维数的方法确定脑电信号序列的嵌入维数,进行相空间重构.实验结果表明:基于非线性预测效果的特征提取方法提取的特征能明显地区分癫痫脑电信号与正常脑电信号,该非线性特征提取方法适合小数据量的情况且对噪声的稳定性好.