Finding metastable stated in real-world time series with recurrence networks

  • In the framework of time series analysis with recurrence networks, we introduce a self-adaptive method that determines the elusive recurrence threshold and identifies metastable states in complex real-world time series. As initial step, we introduce a way to set the embedding parameters used to reconstruct the state space from the time series. We set them as the ones giving the maximum Shannon entropy of the diagonal line length distribution for the first simultaneous minima of recurrence rate and Shannon entropy. To identify metastable states, as well as the transitions between them, we use a soft partitioning algorithm for module finding which is specifically developed for the case in which a system shows metastability. We illustrate our method with a complex time series example. Finally, we show the robustness of our method for identifying metastable states. Our results suggest that our method is robust for identifying metastable states in complex time series, even when introducing considerable levels of noise and missing data points.

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Iliusi Vega, Christof Schütte, Tim Conrad
Document Type:Article
Parent Title (English):Physica A: Statistical Mechanics and its Applications
Volume:445
First Page:1
Last Page:17
Year of first publication:2016
DOI:https://doi.org/10.1016/j.physa.2015.10.041