Characterizing time-resolved stochasticity in non-stationary time series

Result code in IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985807%3A_____%2F24%3A00586742" target="_blank" >RIV/67985807:_____/24:00586742 - isvavai.cz</a>

Result on the web

<a href="https://doi.org/10.1016/j.chaos.2024.115069" target="_blank" >https://doi.org/10.1016/j.chaos.2024.115069</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.chaos.2024.115069" target="_blank" >10.1016/j.chaos.2024.115069</a>

Result language

angličtina

Original language name

Characterizing time-resolved stochasticity in non-stationary time series

Original language description

Time series often exhibit a combination of long-range drift and short-term stochastic fluctuations. Traditional methods for analyzing such series involve fitting regression models to capture the drift component and using the residuals to estimate the random component. We demonstrate, however, that estimating the drift in a real-time (time-resolved) manner poses significant challenges. We find, surprisingly, that contrary to conventional expectations, estimation of the drift is less accurate than evaluating short-term fluctuations in data with a given number of data points. Two factors contribute to this unexpected complexity: measurement noise, and the slower convergence rate of the drift estimation. As a result, real-time estimation of stochastic fluctuations can be more accurate. We introduce the term stochasticity, as the square of the estimated short-term fluctuations within a time window of length dt, which can be estimated in real-time (time-resolved) for given non-stationary time series and those exhibiting unique trajectories. To demonstrate the practical applications of the concept of real-time stochasticity, we calculate it for synthetic time series generated by both linear and nonlinear dynamical equations, which generate stationary and non-stationary trajectories for which we have access to the ground truth. We have also analyzed various real-world datasets: global temperature anomalies in 12 distinct geographical regions, keystroke time series from Parkinson’s disease patients, fluctuations in gold prices, atmospheric CO₂ concentration, wind velocity data, and earthquake occurrences. Our method exclusively provides the time dependency, rather than both state and time dependencies, of the stochasticity.

Czech name

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Czech description

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Type

J_imp - Article in a specialist periodical, which is included in the Web of Science database

CEP classification

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OECD FORD branch

10201 - Computer sciences, information science, bioinformathics (hardware development to be 2.2, social aspect to be 5.8)

Project

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Continuities

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Publication year

2024

Confidentiality

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Name of the periodical

Chaos Solitons & Fractals

ISSN

0960-0779

e-ISSN

1873-2887

Volume of the periodical

185

Issue of the periodical within the volume

August 2024

Country of publishing house

GB - UNITED KINGDOM

Number of pages

16

Pages from-to

115069

UT code for WoS article

001249175500002

EID of the result in the Scopus database

2-s2.0-85194906370