Distinguishing chaotic and stochastic dynamics from time series by using a multiscale symbolic approach

L Zunino, MC Soriano, OA Rosso - Physical Review E, 2012 - APS
Physical Review E, 2012APS
In this paper we introduce a multiscale symbolic information-theory approach for
discriminating nonlinear deterministic and stochastic dynamics from time series associated
with complex systems. More precisely, we show that the multiscale complexity-entropy
causality plane is a useful representation space to identify the range of scales at which
deterministic or noisy behaviors dominate the system's dynamics. Numerical simulations
obtained from the well-known and widely used Mackey-Glass oscillator operating in a high …
Abstract
In this paper we introduce a multiscale symbolic information-theory approach for discriminating nonlinear deterministic and stochastic dynamics from time series associated with complex systems. More precisely, we show that the multiscale complexity-entropy causality plane is a useful representation space to identify the range of scales at which deterministic or noisy behaviors dominate the system's dynamics. Numerical simulations obtained from the well-known and widely used Mackey-Glass oscillator operating in a high-dimensional chaotic regime were used as test beds. The effect of an increased amount of observational white noise was carefully examined. The results obtained were contrasted with those derived from correlated stochastic processes and continuous stochastic limit cycles. Finally, several experimental and natural time series were analyzed in order to show the applicability of this scale-dependent symbolic approach in practical situations.
American Physical Society