Harmonic cross-correlation decomposition for multivariate time series.

Abstract

We introduce harmonic cross-correlation decomposition (HCD) as a tool to detect and visualize features in the frequency structure of multivariate time series. HCD decomposes multivariate time series into spatiotemporal harmonic modes with the leading modes representing dominant oscillatory patterns in the data. HCD is closely related to data-adaptive harmonic decomposition (DAHD) [Chekroun and Kondrashov, Chaos 27, 093110 (2017)10.1063/1.4989400] in that it performs an eigendecomposition of a grand matrix containing lagged cross-correlations. As for DAHD, each HCD mode is uniquely associated with a Fourier frequency, which allows for the definition of multidimensional power and phase spectra. Unlike in DAHD, however, HCD does not exhibit a systematic dependency on the ordering of the channels within the grand matrix. Further, HCD phase spectra can be related to the phase relations in the data in an intuitive way. We compare HCD with DAHD and multivariate singular spectrum analysis, a third related correlation-based decomposition, and we give illustrative applications to a simple traveling wave, as well as to simulations of three coupled Stuart-Landau oscillators and to human EEG recordings.