scholarly journals Nonlinear analysis of magnetospheric data Part I. Geometric characteristics of the AE index time series and comparison with nonlinear surrogate data

1999 ◽  
Vol 6 (1) ◽  
pp. 51-65 ◽  
Author(s):  
G. P. Pavlos ◽  
M. A. Athanasiu ◽  
D. Kugiumtzis ◽  
N. Hatzigeorgiu ◽  
A. G. Rigas ◽  
...  
Keyword(s):  
Time Series ◽  
State Space ◽  
Null Hypothesis ◽  
Surrogate Data ◽  
Statistical Testing ◽  
Geometrical Parameters ◽  
Geometric Characteristics ◽  
Geometrical Characteristics ◽  
Ae Index ◽  
Index Time Series

Abstract. A long AE index time series is used as a crucial magnetospheric quantity in order to study the underlying dynainics. For this purpose we utilize methods of nonlinear and chaotic analysis of time series. Two basic components of this analysis are the reconstruction of the experimental tiine series state space trajectory of the underlying process and the statistical testing of an null hypothesis. The null hypothesis against which the experimental time series are tested is that the observed AE index signal is generated by a linear stochastic signal possibly perturbed by a static nonlinear distortion. As dis ' ' ating statistics we use geometrical characteristics of the reconstructed state space (Part I, which is the work of this paper) and dynamical characteristics (Part II, which is the work a separate paper), and "nonlinear" surrogate data, generated by two different techniques which can mimic the original (AE index) signal. lie null hypothesis is tested for geometrical characteristics which are the dimension of the reconstructed trajectory and some new geometrical parameters introduced in this work for the efficient discrimination between the nonlinear stochastic surrogate data and the AE index. Finally, the estimated geometric characteristics of the magnetospheric AE index present new evidence about the nonlinear and low dimensional character of the underlying magnetospheric dynamics for the AE index.

scholarly journals Nonlinear analysis of magnetospheric data Part II. Dynamical characteristics of the AE index time series and comparison with nonlinear surrogate data

1999 ◽  
Vol 6 (2) ◽  
pp. 79-98 ◽  
Author(s):  
G. P. Pavlos ◽  
D. Kugiumtzis ◽  
M. A. Athanasiu ◽  
N. Hatzigeorgiu ◽  
D. Diamantidis ◽  
...  
Keyword(s):  
Time Series ◽  
Nonlinear Analysis ◽  
Dynamic Models ◽  
Surrogate Data ◽  
Dynamical Characteristics ◽  
Ae Index ◽  
The Family ◽  
Nonlinear Dynamic Models ◽  
Original Time ◽  
Index Time Series

Abstract. In this study we have used dynamical characteristies such as Lyapunov exponents, nonlinear dynamic models and mutual information for the nonlinear analysis of the magnetospheric AE index time series. Similarly with the geometrical characteristic studied in Pavlos et al. (1999b), we have found significant differences between the original time series and its surrogate data. These results also suggest the rejection of the null hypothesis that the AE index belongs to the family of stochastic linear signals undergoing a static nonlinear distortion. Finally, we believe that these results support the hypothesis of nonlinearity and chaos for the magnetospheric dynamics.

scholarly journals Chaotic Patterns in Aeroelastic Signals

2009 ◽  
Vol 2009 ◽  
pp. 1-19 ◽  
Author(s):  
F. D. Marques ◽  
R. M. G. Vasconcellos
Keyword(s):  
Time Series ◽  
State Space ◽  
Complex Dynamics ◽  
Chaotic Behavior ◽  
Separated Flow ◽  
Direct Analysis ◽  
Surrogate Data ◽  
The State ◽  
Aeroelastic System ◽  
Value Decomposition

This work presents the analysis of nonlinear aeroelastic time series from wing vibrations due to airflow separation during wind tunnel experiments. Surrogate data method is used to justify the application of nonlinear time series analysis to the aeroelastic system, after rejecting the chance for nonstationarity. The singular value decomposition (SVD) approach is used to reconstruct the state space, reducing noise from the aeroelastic time series. Direct analysis of reconstructed trajectories in the state space and the determination of Poincaré sections have been employed to investigate complex dynamics and chaotic patterns. With the reconstructed state spaces, qualitative analyses may be done, and the attractors evolutions with parametric variation are presented. Overall results reveal complex system dynamics associated with highly separated flow effects together with nonlinear coupling between aeroelastic modes. Bifurcations to the nonlinear aeroelastic system are observed for two investigations, that is, considering oscillations-induced aeroelastic evolutions with varying freestream speed, and aeroelastic evolutions at constant freestream speed and varying oscillations. Finally, Lyapunov exponent calculation is proceeded in order to infer on chaotic behavior. Poincaré mappings also suggest bifurcations and chaos, reinforced by the attainment of maximum positive Lyapunov exponents.

ON THE RELIABILITY OF THE SURROGATE DATA TEST FOR NONLINEARITY IN THE ANALYSIS OF NOISY TIME SERIES

2001 ◽  
Vol 11 (07) ◽  
pp. 1881-1896 ◽  
Author(s):  
D. KUGIUMTZIS
Keyword(s):  
Time Series ◽  
Null Hypothesis ◽  
Volterra Series ◽  
Simulated Data ◽  
Real Data ◽  
Surrogate Data ◽  
Largest Lyapunov Exponent ◽  
Real World Data ◽  
Original Time ◽  
False Nearest Neighbors

In the analysis of real world data, the surrogate data test is often performed in order to investigate nonlinearity in the data. The null hypothesis of the test is that the original time series is generated from a linear stochastic process possibly undergoing a nonlinear static transform. We argue against reported rejection of the null hypothesis and claims of evidence of nonlinearity based on a single nonlinear statistic. In particular, two schemes for the generation of surrogate data are examined, the amplitude adjusted Fourier transform (AAFT) and the iterated AAFT (IAFFT) and many nonlinear discriminating statistics are used for testing, i.e. the fit with the Volterra series of polynomials and the fit with local average mappings, the mutual information, the correlation dimension, the false nearest neighbors, the largest Lyapunov exponent and simple nonlinear averages (the three point autocorrelation and the time reversal asymmetry). The results on simulated data and real data (EEG and exchange rates) suggest that the test depends on the method and its parameters, the algorithm generating the surrogate data and the observational data of the examined process.

scholarly journals SVD analysis of the magnetospheric AE index time series and comparison with low-dimensional chaotic dynamics

2001 ◽  
Vol 8 (1/2) ◽  
pp. 95-125 ◽  
Author(s):  
M. A. Athanasiu ◽  
G. P. Pavlos
Keyword(s):  
Time Series ◽  
Colored Noise ◽  
External Noise ◽  
Original Time Series ◽  
Svd Analysis ◽  
Ae Index ◽  
Low Dimensional ◽  
Original Time ◽  
Value Decomposition ◽  
Index Time Series

Abstract. The singular value decomposition (SVD) analysis is used at different stages in this paper in order to extract useful information concerning the underlying dynamics of the magnetospheric AE index. As a frame of reference we use the dynamics of the Lorenz system perturbed by external noise, white or colored. One of the critical results is that the colored noise can be differentiated from the white noise when we study their perturbation upon the eigenvalue spectrum of the trajectory matrix, the SVD reconstructed components of the original time series and other characteristics. This result is used in order to conclude the existence of strong component of colored noise included in the magnetospheric AE index time series. Moreover, the study of the SVD reconstructed components of the original time series can confirm the low-dimensionality of a dynamical system strongly perturbed by external colored noise. Finally, the results of this study strengthen the hypothesis of the magnetospheric chaos.

SURROGATE DATA PATHOLOGIES AND THE FALSE-POSITIVE REJECTION OF THE NULL HYPOTHESIS

2001 ◽  
Vol 11 (04) ◽  
pp. 983-997 ◽  
Author(s):  
P. E. RAPP ◽  
C. J. CELLUCCI ◽  
T. A. A. WATANABE ◽  
A. M. ALBANO ◽  
T. I. SCHMAH
Keyword(s):  
Time Series ◽  
Fourier Transform ◽  
False Positive ◽  
Null Hypothesis ◽  
Random Phase ◽  
Surrogate Data ◽  
Random Numbers ◽  
Nonlinear Structure ◽  
Numerical Errors ◽  
Comparison Test

It is shown that inappropriately constructed random phase surrogates can give false-positive rejections of the surrogate null hypothesis. Specifically, the procedure erroneously indicated the presence of deterministic, nonlinear structure in a time series that was constructed by linearly filtering normally distributed random numbers. It is shown that the erroneous identification was due to numerical errors in the estimation of the signal's Fourier transform. In the example examined here, the introduction of data windowing into the algorithm eliminated the false-positive rejection of the null hypothesis. Additional guidelines for the use of surrogates are considered, and the results of a comparison test of random phase surrogates, Gaussian scaled surrogates and iterative surrogates are presented.

scholarly journals Chaos and magnetospheric dynamics

1994 ◽  
Vol 1 (2/3) ◽  
pp. 124-135 ◽  
Author(s):  
G. P. Pavlos ◽  
D. Diamandidis ◽  
A. Adamopoulos ◽  
A. G. Rigas ◽  
I. A. Daglis ◽  
...  
Keyword(s):  
Time Series ◽  
Chaotic Dynamics ◽  
Electric Circuit ◽  
Dynamical Chaos ◽  
Ae Index ◽  
Reconstructed Phase Space ◽  
Magnetospheric Dynamics ◽  
Low Dimensional ◽  
Value Decomposition ◽  
Index Time Series

Abstract. Our intention in this work is to show, by using two different methods, that magnetospheric dynamics reveal low dimensional chaos. In the first method we extend the chaotic analysis for the AE index time series by including singular value decomposition (SVD) analysis in combination with Theiler's test in order to discriminate dynamical chaos from self-affinity or "crinkliness". The estimated fractality of the AE index time series which is obtained belongs to a strange attractor structure with close returns in the reconstructed phase space. In the second method we extend the linear equivalent magnetospheric electric circuit to a nonlinear one, the arithmetic solution of which reveals low dimensional chaotic dynamics. Both methods strongly support the existence of low dimensional magnetospheric chaos.

Data Preprocessing

2018 ◽  
Author(s):  
Ray Huffaker ◽  
Marco Bittelli ◽  
Rodolfo Rosa
Keyword(s):  
Stochastic Process ◽  
Time Series ◽  
Signal Processing ◽  
Real World ◽  
Null Hypothesis ◽  
Time Series Data ◽  
Nonlinear Behavior ◽  
Surrogate Data ◽  
Series Data ◽  
Linear Behavior

Successful reconstruction of a shadow attractor provides preliminary empirical evidence that a signal isolated from observed time series data may be generated by deterministic dynamics. However, because we cannot reasonably expect signal processing to purge the signal of all noise in practice, and because noisy linear behavior can be visually indistinguishable from nonlinear behavior, the possibility remains that noticeable regularity detected in a shadow attractor may be fortuitously reconstructed from data generated by a linear-stochastic process. This chapter investigates how we can test this null hypothesis using surrogate data testing. The combination of a noticeably regular shadow attractor, along with strong statistical rejection of fortuitous regularity, increases the probability that observed data are generated by deterministic real-world dynamics.

scholarly journals Comparison of chaotic aspects of magnetosphere under various physical conditions using AE index time series

2008 ◽  
Vol 26 (4) ◽  
pp. 941-953 ◽  
Author(s):  
K. Unnikrishnan
Keyword(s):  
Time Series ◽  
Solar Activity ◽  
Lyapunov Exponent ◽  
Degrees Of Freedom ◽  
High Solar Activity ◽  
Nonlinear Prediction ◽  
Physical Conditions ◽  
Ae Index ◽  
Significant Difference ◽  
Index Time Series

Abstract. The deterministic chaotic behaviour of magnetosphere was analyzed, using AE index time series. The significant chaotic quantifiers like, Lyapunov exponent, spatio-temporal entropy and nonlinear prediction error for AE index time series under various physical conditions were estimated and compared. During high solar activity (1991), the values of Lyapunov exponent for AE index time series representing quiet conditions (yearly mean = 0.5±0.1 min−1) have no significant difference from those values for corresponding storm conditions (yearly mean = 0.5±0.17 min−1). This implies that, for the cases considered here, geomagnetic storms may not be an additional source to increase or decrease the deterministic chaotic aspects of magnetosphere, especially during high solar activity. During solar minimum period (1994), the seasonal mean value of Lyapunov exponent for AE index time series belong to quiet periods in winter (0.7±0.11 min−1) is higher compared to corresponding value of storm periods in winter (0.36±0.09 min−1). This may be due to the fact that, stochastic part, which is Dst dependent could be more prominent during storms, thereby increasing fluctuations/stochasticity and reducing determinism in AE index time series during storms. It is observed that, during low solar active period (1994), the seasonal mean value of entropy for time series representing storm periods of equinox is greater than that for quiet periods. However, significant difference is not observed between storm and quiet time values of entropy during high solar activity (1991), which is also true for nonlinear prediction error for both low and high solar activities. In the case of both high and low solar activities, the higher standard deviations of yearly mean Lyapunov exponent values for AE index time series for storm periods compared to those for quiet periods might be due to the strong interplay between stochasticity and determinism during storms. It is inferred that, the external driving forces, mainly due to solar wind, make the solar-magnetosphere-ionosphere coupling more complex, which generates many active degrees of freedom with various levels of coupling among them, under various physical conditions. Hence, the superposition of a large number of active degrees of freedom can modify the stability/instability conditions of magnetosphere.

scholarly journals Streamflow dynamics at the Puget Sound, Washington: application of a surrogate data method

2005 ◽  
Vol 12 (4) ◽  
pp. 461-469 ◽  
Author(s):  
N. She ◽  
D. Basketfield
Keyword(s):  
Time Series ◽  
Null Hypothesis ◽  
Puget Sound ◽  
Original Data ◽  
Surrogate Data ◽  
Linear Process ◽  
Central Basin ◽  
Daily Streamflow ◽  
Streamflow Data ◽  
Dynamic Nonlinearity

Abstract. Recent progress in nonlinear dynamic theory has inspired hydrologists to apply innovative nonlinear time series techniques to the analysis of streamflow data. However, regardless of the method employed to analyze streamflow data, the first step should be the identification of underlying dynamics using one or more methods that could distinguish between linear and nonlinear, deterministic and stochastic processes from data itself. In recent years a statistically rigorous framework to test whether or not the examined time series is generated by a Gaussian (linear) process undergoing a possibly nonlinear static transform is provided by the method of surrogate data. The surrogate data, generated to represent the null hypothesis, are compared to the original data under a nonlinear discriminating statistic in order to reject or approve the null hypothesis. In recognition of this tendency, the method of "surrogate data" is applied herein to determine the underlying linear stochastic or nonlinear deterministic nature of daily streamflow data observed from the central basin of Puget Sound, and as applicable, distinguish between the static or dynamic nonlinearity of the data in question.

TESTING FOR NONLINEARITY IN SHANGHAI STOCK MARKET

2004 ◽  
Vol 18 (17n19) ◽  
pp. 2720-2724 ◽  
Author(s):  
HAIYAN WANG ◽  
LONGKUN TANG
Keyword(s):  
Time Series ◽  
Stock Market ◽  
Null Hypothesis ◽  
Quantitative Method ◽  
Multivariate Time Series ◽  
Surrogate Data ◽  
Significance Test ◽  
Test Statistic ◽  
Gaussian Random Process ◽  
Linear And Nonlinear

In this paper, we apply IAAFT to generate surrogate time series of measured multivariate time series. A quantitative method to detect nonlinearity in multivariate time series is proposed using the generalized redundancy and linear redundancy as the significance test statistic. The null hypothesis of a multivariate linear Gaussian random process is tested using the multivariate surrogate data. The validity of this method is demonstrated using two types models (linear and nonlinear) and applied to Shanghai stock market.

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