Recurrences : exploiting naturally occurring analogues

  • Recurrence plots, a rather promising tool of data analysis, have been introduced by Eckman et al. in 1987. They visualise recurrences in phase space and give an overview about the system's dynamics. Two features have made the method rather popular. Firstly they are rather simple to compute and secondly they are putatively easy to interpret. However, the straightforward interpretation of recurrence plots for some systems yields rather surprising results. For example indications of low dimensional chaos have been reported for stock marked data, based on recurrence plots. In this work we exploit recurrences or ``naturally occurring analogues'' as they were termed by E. Lorenz, to obtain three key results. One of which is that the most striking structures which are found in recurrence plots are hinged to the correlation entropy and the correlation dimension of the underlying system. Even though an eventual embedding changes the structures in recurrence plots considerably these dynamical invariants can be estimated independently of the speRecurrence plots, a rather promising tool of data analysis, have been introduced by Eckman et al. in 1987. They visualise recurrences in phase space and give an overview about the system's dynamics. Two features have made the method rather popular. Firstly they are rather simple to compute and secondly they are putatively easy to interpret. However, the straightforward interpretation of recurrence plots for some systems yields rather surprising results. For example indications of low dimensional chaos have been reported for stock marked data, based on recurrence plots. In this work we exploit recurrences or ``naturally occurring analogues'' as they were termed by E. Lorenz, to obtain three key results. One of which is that the most striking structures which are found in recurrence plots are hinged to the correlation entropy and the correlation dimension of the underlying system. Even though an eventual embedding changes the structures in recurrence plots considerably these dynamical invariants can be estimated independently of the special parameters used for the computation. The second key result is that the attractor can be reconstructed from the recurrence plot. This means that it contains all topological information of the system under question in the limit of long time series. The graphical representation of the recurrences can also help to develop new algorithms and exploit specific structures. This feature has helped to obtain the third key result of this study. Based on recurrences to points which have the same ``recurrence structure'', it is possible to generate surrogates of the system which capture all relevant dynamical characteristics, such as entropies, dimensions and characteristic frequencies of the system. These so generated surrogates are shadowed by a trajectory of the system which starts at different initial conditions than the time series in question. They can be used then to test for complex synchronisation.show moreshow less
  • In der vorliegenden Arbeit wird die Wiederkehr im Phasenraum ausgenutzt. Dabei werden drei Hauptresultate besprochen. 1. Die Wiederkehr erlaubt die Vorhersagbarkeit des Systems zu quantifizieren. 2. Die Wiederkehr enthaelt (unter bestimmten Voraussetzungen) sämtliche relevante Information über die Dynamik im Phasenraum 3. Die Wiederkehr erlaubt die Erzeugung dynamischer Ersatzdaten.

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Metadaten
Author:Marco Thiel
URN:urn:nbn:de:kobv:517-0001633
Title Additional (English):Recurrences : exploiting naturally occurring analogues
Advisor:Jürgen Kurths, Prof. Dr., Celso Grebogi, Dvorak, Rudolf Prof. Dr., Prof. Dr.
Document Type:Doctoral Thesis
Language:English
Date of Publication (online):2005/02/14
Year of Completion:2004
Publishing Institution:Universität Potsdam
Date of final exam:2004/10/27
Release Date:2005/02/14
Tag:Datenanalyse; Rekurrenzen; Surrogates; Wiederkehrdiagramme
data analysis; recurrence plots; recurrences; surrogates
RVK - Regensburg Classification:UG 1080
Organizational units:Mathematisch-Naturwissenschaftliche Fakultät / Institut für Physik und Astronomie
Dewey Decimal Classification:5 Naturwissenschaften und Mathematik / 53 Physik / 530 Physik