Magnitude and sign of long-range correlated time series: Decomposition and surrogate signal generation

被引:32
|
作者
Gomez-Extremera, Manuel [1 ]
Carpena, Pedro [1 ]
Ivanov, Plamen Ch. [2 ,3 ,4 ,5 ]
Bernaola-Galvan, Pedro A. [1 ]
机构
[1] Univ Malaga, ETSI Telecomunicac, Dept Fis Aplicada 2, E-29071 Malaga, Spain
[2] Boston Univ, Dept Phys, Keck Lab Network Physiol, Boston, MA 02215 USA
[3] Harvard Univ, Sch Med, Boston, MA 02115 USA
[4] Brigham & Womens Hosp, Div Sleep Med, Boston, MA 02115 USA
[5] Bulgarian Acad Sci, Inst Solid State Phys, BU-1784 Sofia, Bulgaria
基金
美国国家卫生研究院;
关键词
SCALING BEHAVIOR; HUMAN HEARTBEAT; DNA-SEQUENCES; FLUCTUATIONS; PERMEABILITY; DISORDER; MODEL;
D O I
10.1103/PhysRevE.93.042201
中图分类号
O35 [流体力学]; O53 [等离子体物理学];
学科分类号
070204 ; 080103 ; 080704 ;
摘要
We systematically study the scaling properties of the magnitude and sign of the fluctuations in correlated time series, which is a simple and useful approach to distinguish between systems with different dynamical properties but the same linear correlations. First, we decompose artificial long-range power-law linearly correlated time series into magnitude and sign series derived from the consecutive increments in the original series, and we study their correlation properties. We find analytical expressions for the correlation exponent of the sign series as a function of the exponent of the original series. Such expressions are necessary for modeling surrogate time series with desired scaling properties. Next, we study linear and nonlinear correlation properties of series composed as products of independent magnitude and sign series. These surrogate series can be considered as a zero-order approximation to the analysis of the coupling of magnitude and sign in real data, a problem still open in many fields. We find analytical results for the scaling behavior of the composed series as a function of the correlation exponents of the magnitude and sign series used in the composition, and we determine the ranges of magnitude and sign correlation exponents leading to either single scaling or to crossover behaviors. Finally, we obtain how the linear and nonlinear properties of the composed series depend on the correlation exponents of their magnitude and sign series. Based on this information we propose a method to generate surrogate series with controlled correlation exponent and multifractal spectrum.
引用
收藏
页数:12
相关论文
共 50 条
  • [31] Long-Range Correlations and Characterization of Financial and Volcanic Time Series
    Mariani, Maria C.
    Asante, Peter K.
    Bhuiyan, Md Al Masum
    Beccar-Varela, Maria P.
    Jaroszewicz, Sebastian
    Tweneboah, Osei K.
    MATHEMATICS, 2020, 8 (03)
  • [32] Long-range correlations and trends in Colombian seismic time series
    Martin-Montoya, L. A.
    Aranda-Camacho, N. M.
    Quimbay, C. J.
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2015, 421 : 124 - 133
  • [33] Optimal spectral kernel for long-range dependent time series
    Delgado, MA
    Robinson, PM
    STATISTICS & PROBABILITY LETTERS, 1996, 30 (01) : 37 - 43
  • [34] Detecting long-range correlations in time series of neuronal discharges
    Blesic, S
    Milosevic, S
    Stratimirovic, D
    Ljubisavljevic, M
    PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS, 2003, 330 (3-4) : 391 - 399
  • [35] TIME SERIES MODEL OF LONG-RANGE PREDICTION AND ITS APPLICATION
    曹鸿兴
    魏凤英
    王永中
    ActaMeteorologicaSinica, 1990, (01) : 120 - 127
  • [36] Long-range correlations in time series of wind speed in the Northeast
    de Araujo, Anderson Jose
    Stosic, Tatijana
    Stosic, Borko
    Dezotti, Claudia Helena
    SIGMAE, 2013, 2 (03): : 81 - 84
  • [37] Estimation of long-range dependence in gappy Gaussian time series
    Peter F. Craigmile
    Debashis Mondal
    Statistics and Computing, 2020, 30 : 167 - 185
  • [38] Computation of the autocovariances for time series with multiple long-range persistencies
    McElroy, Tucker S.
    Holan, Scott H.
    COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2016, 101 : 44 - 56
  • [39] DEFINITIONS AND REPRESENTATIONS OF MULTIVARIATE LONG-RANGE DEPENDENT TIME SERIES
    Kechagias, Stefanos
    Pipiras, Vladas
    JOURNAL OF TIME SERIES ANALYSIS, 2015, 36 (01) : 1 - 25
  • [40] Estimation of long-range dependence in gappy Gaussian time series
    Craigmile, Peter F.
    Mondal, Debashis
    STATISTICS AND COMPUTING, 2020, 30 (01) : 167 - 185