Navegar

Colección

Datos Estadísticas

Artículo

Carpi, L.C.; Saco, P.M.; Rosso, O.A. "Missing ordinal patterns in correlated noises" (2010) Physica A: Statistical Mechanics and its Applications. 389(10):2020-2029
La versión final de este artículo es de uso interno. El editor solo permite incluir en el repositorio el artículo en su versión post-print. Por favor, si usted la posee enviela a
Consulte el artículo en la página del editor
Consulte la política de Acceso Abierto del editor

Abstract:

Recent research aiming at the distinction between deterministic or stochastic behavior in observational time series has looked into the properties of the "ordinal patterns" [C. Bandt, B. Pompe, Phys. Rev. Lett. 88 (2002) 174102]. In particular, new insight has been obtained considering the emergence of the so-called "forbidden ordinal patterns" [J.M. Amigó, S. Zambrano, M.A. F Sanjuán, Europhys. Lett. 79 (2007) 50001]. It was shown that deterministic one-dimensional maps always have forbidden ordinal patterns, in contrast with time series generated by an unconstrained stochastic process in which all the patterns appear with probability one. Techniques based on the comparison of this property in an observational time series and in white Gaussian noise were implemented. However, the comparison with correlated stochastic processes was not considered. In this paper we used the concept of "missing ordinal patterns" to study their decay rate as a function of the time series length in three stochastic processes with different degrees of correlation: fractional Brownian motion, fractional Gaussian noise and, noises with f- k power spectrum. We show that the decay rate of "missing ordinal patterns" in these processes depend on their correlation structures. We finally discuss the implications of the present results for the use of these properties as a tool for distinguishing deterministic from stochastic processes. © 2010 Elsevier B.V. All rights reserved.

Registro:

Documento: Artículo
Título:Missing ordinal patterns in correlated noises
Autor:Carpi, L.C.; Saco, P.M.; Rosso, O.A.
Filiación:Civil, Surveying and Environmental Engineering, The University of Newcastle, University Drive, Callaghan, NSW 2308, Australia
Instituto de Ciências Exatas (Fisica), Universidade Federal de Minas Gerais, Av. Antonio Carlos, 6627, - Campus Pampulha, 31270-901 Belo Horizonte, MG, Brazil
Chaos and Biology Group, Instituto de Cálculo, Facultad de Ciencias Exactas y Naturales, Ciudad Universitaria, 1428 Ciudad de Buenos Aires, Argentina
Palabras clave:Fluctuation phenomena; Noise; Noise and Brownian motion; Random processes; Time series analysis; Brownian motion; Correlated noise; Correlation structure; Decay rate; Fluctuation phenomena; Fractional Brownian motion; Fractional Gaussian noise; Noise; Noise and Brownian motion; One dimensional map; Ordinal pattern; Stochastic behavior; Stochastic process; White Gaussian Noise; Brownian movement; Decay (organic); Gaussian noise (electronic); Stochastic systems; Time and motion study; Time series; White noise; Time series analysis
Año:2010
Volumen:389
Número:10
Página de inicio:2020
Página de fin:2029
DOI: http://dx.doi.org/10.1016/j.physa.2010.01.030
Título revista:Physica A: Statistical Mechanics and its Applications
Título revista abreviado:Phys A Stat Mech Appl
ISSN:03784371
CODEN:PHYAD
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_03784371_v389_n10_p2020_Carpi

Referencias:

  • Sugihara, G., May, R.M., (1990) Nature, 344, p. 734
  • Kaplan, D.T., Glass, L., (1992) Phys. Rev. Lett., 68, p. 427
  • Kennel, M.B., Isabelle, S., (1992) Phys. Rev. A, 46, p. 3111
  • Theiler, J., Eubank, S., Longtin, A., Galdrikian, B., Farmer, J.D., (1992) Physica D, 58, p. 77
  • Tsonis, A.A., Elsner, J.B., (1992) Nature, 358, p. 217
  • Kaplan, D.T., Glass, L., (1993) Physica D, 64, p. 431
  • Wayland, R., Bromley, D., Pickett, D., Passamante, A., (1993) Phys. Rev. Lett., 70, p. 580
  • Salvino, L.W., Cawley, R., (1994) Phys. Rev. Lett., 73, p. 1091
  • Ortega, G.J., Louis, E., (1998) Phys. Rev. Lett., 81, p. 4345
  • Jeong, J., Gore, J.C., Peterson, B.S., (2002) Biol. Cybern., 86, p. 335
  • Ortega, G.J., Louis, E., (2000) Phys. Rev. E, 62, p. 3419
  • Ortega, G.J., Degli Esposti Boschi, C., Louis, E., (2001) Phys. Rev. E, 65, p. 016208
  • Small, M., Tse, C.K., (2003) IEEE Trans. Circuit and Syst. I: Fundamental theory and applications, 50, p. 663
  • Bandt, C., Pompe, B., (2002) Phys. Rev. Lett., 88, p. 174102
  • Martín, M.T., Plastino, A., Rosso, O.A., (2003) Phys. Lett. A, 311, p. 126
  • Lamberti, P.W., Martín, M.T., Plastino, A., Rosso, O.A., (2004) Physica A, 334, p. 119
  • Rosso, O.A., Larrondo, H.A., Martín, M.T., Plastino, A., Fuentes, M.A., (2007) Phys. Rev. Lett., 99, p. 154102
  • Amigó, J.M., Zambrano, S., F Sanjuán, M.A., (2007) Europhys. Lett., 79, p. 50001
  • Amigó, J.M., Zambrano, S., Sanjuán, M.A.F., (2008) Europhys. Lett., 83, p. 60005
  • Bandt, C., Kellerand, G., Pompe, B., (2002) Nonlinearity, 15, p. 1595
  • Keller, K., Sinn, M., (2005) Physica A, 356, p. 114
  • Kowalski, A.M., Martín, M.T., Plastino, A., Rosso, O.A., (2007) Physica D, 233, p. 21
  • Rosso, O.A., Zunino, L., Pérez, D.G., Figliola, A., Larrondo, H.A., Garavaglia, M., Martín, M.T., Plastino, A., (2007) Phys. Rev. E, 76, p. 061114
  • Rosso, O.A., Vicente, R., Mirasso, C., (2008) Phys. Lett. A, 372, p. 1018
  • De Micco, L., González, C.M., Larrondo, H.A., Martín, M.T., Plastino, A., Rosso, O.A., (2008) Physica A, 387, p. 3373
  • Zunino, L., Pérez, D.G., Martín, M.T., Garavaglia, M., Plastino, A., Rosso, O.A., (2008) Phys. Lett. A, 372, p. 4768
  • Zunino, L., Pérez, D.G., Kowalski, A., Martín, M.T., Garavaglia, M., Plastino, A., Rosso, O.A., (2008) Physica A, 387, p. 6067
  • De Micco, L., Larrondo, H., Plastino, A., Rosso, O.A., (2009) Philos. Trans. R. Soc. A, 367, p. 3281
  • Zunino, L., Zanin, M., Tabak, B.M., Pérez, D., Rosso, O.A., (2009) Physica A, 388, p. 2854
  • Rosso, O.A., Masoller, C., (2009) Phys. Rev. E, 79, pp. 040106R
  • Rosso, O.A., Masoller, C., (2009) Eur. Phys. J. B, 69, p. 37
  • Amigó, J.M., Kocarev, L., Szczepanski, J., (2006) Phys. Lett. A, 355, p. 27
  • Wold, H., (1938) A Study in the Analysis of Stationary Time Series, , Almqvist and Wiksell, Upsala, Sweden
  • Kurths, J., Herzel, H., (1987) Physica D, 25, p. 165
  • Cambanis, S., Hardin, C.D., Weron, A., (1988) Probab. Theory Related Fields, 79, p. 1
  • Ouyang, G., Li, X., Dang, C., Richards, D.A., (2009) Phys. Rev. E, 79, p. 041146
  • Zanin, M., (2008) Chaos, 18, p. 013119
  • Sato, S., Yamamoto, M., Musha, T., (1992) Noise in Physical Systems and 1 / f Fluctuation, , IOS Press, Oxford
  • Bosman, G., (2001) Noise in Physical Systems and 1 / f Fluctuations, , World Scientific, New Jersey
  • Biagini, F., Hu, Y., Øksendar, B., Zhang, T., (2008) Stochastic Calculus for Fractional Brownian Motion and Applications, , Springer, London
  • Zunino, L., Pérez, D.G., Martín, M.T., Plastino, A., Garavaglia, M., Rosso, O.A., (2007) Phys. Rev. E, 75, p. 021115
  • Bandt, C., Shiha, F., (2007) J. Time Ser. Anal., 28, p. 646
  • Davies, R.B., Harte, D.S., (1987) Biometrika, 74, p. 95
  • Wood, A.T.A., Chan, G., (1994) J. Comput. Graph. Statist., 3, p. 409

Citas:

---------- APA ----------
Carpi, L.C., Saco, P.M. & Rosso, O.A. (2010) . Missing ordinal patterns in correlated noises. Physica A: Statistical Mechanics and its Applications, 389(10), 2020-2029.
http://dx.doi.org/10.1016/j.physa.2010.01.030
---------- CHICAGO ----------
Carpi, L.C., Saco, P.M., Rosso, O.A. "Missing ordinal patterns in correlated noises" . Physica A: Statistical Mechanics and its Applications 389, no. 10 (2010) : 2020-2029.
http://dx.doi.org/10.1016/j.physa.2010.01.030
---------- MLA ----------
Carpi, L.C., Saco, P.M., Rosso, O.A. "Missing ordinal patterns in correlated noises" . Physica A: Statistical Mechanics and its Applications, vol. 389, no. 10, 2010, pp. 2020-2029.
http://dx.doi.org/10.1016/j.physa.2010.01.030
---------- VANCOUVER ----------
Carpi, L.C., Saco, P.M., Rosso, O.A. Missing ordinal patterns in correlated noises. Phys A Stat Mech Appl. 2010;389(10):2020-2029.
http://dx.doi.org/10.1016/j.physa.2010.01.030