Nonlinear Time Series Analysis Research Articles

Comparative Performance of ARIMA and ARCH Models On Time Series of Monthly Libyan Brent Oil Price

Many economic and financial time series exhibit a phenomenon known as heteroscedastic, where the variance of the series changes over time. This research study focuses on financial time series modelling, with special application to modelling the price of Libyan Brent Oil. In particular, the theory of univariate nonlinear time series analysis is explored and applied to the price Libyan of Brent Oil, spanning from January 2000 to December 2010. The data was obtained from Bullent of the Platts Market Wire of Statistics. This study aims to evaluate the performance of ARIMA as a linear model and ARCH as a nonlinear modelling data. Multiple time series models were considered for fitting the data, and the best ARIMA models were selected based on the Akaike Information Criteria (AIC). ARIMA (0, 1, 1), and ARIMA (1, 1, 0) were identified as the best models. After estimating the parameters of the selected models, model checking revealed that these models were not suitable for modeling the data, as they lacked validity according to the test of squared residuals. The goodness of fit was assessed using the AIC, and based on minimum AIC values, the best fit ARCH models were found to be ARIMA (0, 1, 1) - ARCH (1). After estimating the parameters of the selected model, a series of diagnostic and forecast accuracy tests were performed. Based on this model, a twelve-month forecast of the price of Libyan Brent crude was made.

Spray swirling flame dynamic under combined modulation of air and fuel

Combustion instability is still a main challenge in developing advanced gas turbine combustors. It is essential to conduct instability control once it occurs. In this paper, liquid fuel modulation by a high-speed on/off valve is used to control flame oscillation generated by loudspeakers. Spray swirling flame dynamic under the combined modulation of air and fuel is experimentally studied. Flame dynamical characteristics and coherent structures at different excitation phase delays are discussed with nonlinear time-series analysis and proper orthogonal decomposition method. Experimental results show flame heat release rate fluctuation is decreased by 86% at 40° while flame instability is intensively enhanced at 220°. Phase portraits and recurrence plots show the flame is in a chaotic oscillation with low amplitude aperiodic oscillations at 40° while it suffers from the largest fluctuation at 220°. Difference in flame dynamic is caused by the destructive (out of phase) and constructive (in phase) interference of heat release rate fluctuations induced by air excitation and fuel modulation. Flame returns back to its nature dynamical behavior under out-of-phase modulation. Longitudinal modes of the spray flame are enhanced while the spiral modes are inhibited under in-phase modulation.

Functional index coefficient models for locally stationary time series

In the analysis of nonlinear time series, we propose a novel functional index coefficient model for the locally stationary data. The proposed model can effectively capture the dynamic interaction effects between variables and the nature of data evolution. Drawing the idea from the spline-backfitted method, we propose a three-step estimation procedure and establish the asymptotic properties of the resulting nonparametric estimators. We further construct simultaneous confidence bands for the time-varying functions to explore the global variation of the original data. We also develop a test statistic to check the time-varying properties based on a bootstrap procedure. Simulation studies have been conducted to investigate the finite sample performance of the proposed methods. Two real applications in the finance market and the Hong Kong respiratory and circulatory disease data are analysed for illustration.

Strain variation and anomalous climate synergistically influence cholera pandemics.

Explanations for the genesis and propagation of cholera pandemics since 1817 have remained elusive. Evolutionary pathogen change is presumed to have been a dominant factor behind the 7th "El Tor" pandemic, but little is known to support this hypothesis for preceding pandemics. The role of anomalous climate in facilitating strain replacements has never been assessed. The question is of relevance to guide the understanding of infectious disease emergence today and in the context of climate change. We investigate the roles of climate and putative strain variation for the 6th cholera pandemic (1899-1923) using newly assembled historical records for climate variables and cholera deaths in provinces of former British India. We compare this historical pandemic with the 7th (El Tor) one and with the temporary emergence of the O139 strain in Bangladesh and globally. With statistical methods for nonlinear time series analysis, we examine the regional synchrony of outbreaks and associations of the disease with regional temperature and rainfall, and with the El Niño Southern Oscillation (ENSO). To establish future expectations and evaluate climate anomalies accompanying historical strain replacements, climate projections are generated with multi-model climate simulations for different 50-year periods. The 6th cholera pandemic featured the striking synchronisation of cholera outbreaks over Bengal during the El Niño event of 1904-07, following the invasion of the Bombay Presidency with a delay of a few years. Accompanying anomalous weather conditions are similar to those related to ENSO during strain replacements and pandemic expansions into Africa and South America in the late 20th century. Rainfall anomalies of 1904-05 at the beginning of the large cholera anomaly fall in the 99th percentile of simulated changes for the regional climate. Evolutionary pathogen change can act synergistically with climatic conditions in the emergence and propagation of cholera strains. Increased climate variability and extremes under global warming provide windows of opportunity for emerging pathogens.

Machine learning analysis of pressure fluctuations in a gas-solid fluidized bed

Pressure fluctuations in a gas-solid fluidized bed involve much information of the dynamic system. To uncover the value and significance of the pressure fluctuations time series, two meaningful tasks, i.e., the fluidization regime classification and the future state prediction, are investigated using Machine Learning (ML) algorithms, including Back Propagation neural network (BP), Convolutional Neural Network (CNN), Long Short-Term Memory network (LSTM), Radial Basis Function network (RBF), Random Forest (RF) and Support Vector Machine (SVM). Findings indicate that the six ML methods rank their performance for the classification task from high to low as: BP ∼ RF > SVM > CNN ∼ LSTM ∼ RBF. For the one-step-ahead future state prediction, the accuracy goes from high to low as: BP ∼ RBF > CNN ∼ LSTM > SVM ∼ RF, whilst for the multistep-ahead prediction the LSTM approach shows the best performance. Additionally, the sampling frequency of pressure time series has significant effects on both tasks. Overall, this study demonstrates the capability of machine learning methods for the value analysis of nonlinear time series and the better operation of gas-solid fluidization systems.

Mathematical modeling and seasonal solar radiation variability in Nigeria’s geo-political zones: A recurrence and multifractal analysis

This article delves into the seasonal variation of solar radiation patterns across Nigeria’s four geo-political zones, exploring their complex, scale-dependent behaviors. By employing chaotic quantifiers, the study characterizes irregular and self-similar patterns, enhancing our understanding of solar radiation variability and heterogeneity. The research uniquely fits meteorological parameters onto a global solar radiation model and focuses on the underexplored nonlinear aspects within tropical regions, specifically in the Nigerian context. Utilizing daily data from ERA INTERIM satellite archives for representative stations, the study employs nonlinear time series analysis methods like recurrence plots, recurrence qualitative analysis, and multifractal spectral analysis to comprehensively explore the unpredictable behaviors observed. The quantifier spectrums play a key role in revealing intricate scaling behaviors and correlation structures among environmental variables, shedding light on patterns often concealed by conventional statistical methods. For instance, we found that solar radiation variability in the northern region increases more significantly during the dry season compared to the wet season, unlike in the southern region. Additionally, the multifractal spectral analysis revealed a higher degree of complexity in solar radiation patterns during transition periods between seasons. The findings reveal a low recurrence quantitative analysis, long right tail, and truncations at both ends of the spectrum. This suggests instability in solar radiation across different seasons and locations. Nonetheless, the results also demonstrate that solar radiation is consistently available throughout the year, which is typical of tropical regions.

Local-manifold-distance-based regression: an estimation method for quantifying dynamic biological interactions with empirical time series.

Quantifying species interactions based on empirical observations is crucial for ecological studies. Advancements in nonlinear time-series analyses, particularly S-maps, are promising for high-dimensional and non-equilibrium ecosystems. S-maps sequentially perform a local linear model fitting to the time evolution of neighbouring points on the reconstructed attractor manifold, and the coefficients can approximate the Jacobian elements corresponding to interaction effects. However, despite that the advantages in nonlinear forecasting with noise-contaminated data, these methodologies have a limitation in the Jacobian estimation accuracy owing to non-equidistantly stretched local manifolds in the state space. Herein, we therefore introduced a local manifold distance (LMD) concept, a non-equidistant measure based on the multi-faceted state dependency. By integrating LMD with advanced computation techniques, we presented a robust and efficient analytical method, LMD-based regression (LMDr). To validate its advantages in prediction and Jacobian estimation, we analysed synthetic time series of model ecosystems with different noise levels and applied it to an experimental protozoan predator-prey system with established biological information. The robustness to noise was the highest for LMDr, which also showed a better correspondence to expected predator-prey interactions in the protozoan system. Thus, LMDr can be applied to study complex ecological networks under dynamic conditions.

Identification of climatic tipping points and transitions in Chinese loess grain-size records utilizing nonlinear time series analysis

As one of the most important terrestrial sediments, Chinese loess provides valuable information on regional and global climatic and environmental changes and holds great potential for studying on nonlinear behaviors of the East Asian monsoon system. Utilizing objective and quantitative methods to identify tipping points and climate transitions in paleoclimatic records can help us understand the climatic change in the Chinese Loess Plateau (CLP). This study explores critical tipping points and nonlinear climate transitions within the CLP using the Chiloparts record, a comprehensive 2600-ka paleoclimate dataset. We pinpointed potential tipping points using recurrence quantification analysis and the augmented Kolmogorov-Smirnov test, ultimately leading to 15 critical tipping points. We argued that these 15 tipping points represent some of the most significant climatic changes recorded in the Chinese loess paleoclimate record. Employing recurrence quantification analysis, recurrence networks, and visibility graphs, we also identified several climate transitions and provided some nonlinear information, including the Mid-Pleistocene Transition (MPT) as well as the Mid-Brunhes Transition (MBT). We particularly highlight a significant climatic regime transition around 500 ka that may reflect a nonlinear response to variations in the Atlantic Meridional Overturning Circulation (AMOC). Our research also contributes to the understanding of the complex interplay between loess deposition, environmental change, and tectonic activity, emphasizing the need for further investigations to elucidate the mechanisms driving these transitions.

Advanced multiscale modal and frequency analysis of swirling spray flame near to lean blowout

This study provides an in-depth characterization of Jet-A1 swirled flames' dynamics using advanced decomposition techniques on high-speed OH* chemiluminescence images. Research conducted in a 300-kW combustor with global fuel-to-air ratios Φ = 0.36, 0.24, and 0.18 reveals dominant low-frequency components under ultra-lean conditions through statistical and wavelet analyses. Integrating Proper Orthogonal Decomposition (POD), Dynamic Mode Decomposition (DMD), and Multiscale Proper Orthogonal Decomposition (mPOD) enhances understanding by detailing the energy and frequency of flame modal structures. Observations show that as Φ decreases, flame size and intensity reduce, while fluctuations increase, indicating a transition towards unstable combustion dynamics. Furthermore, the frequency and intensity of burst phenomena increase, particularly in higher modes, indicating the system's approach to lean blowout (LBO). The application of nonlinear time series analysis, including autocorrelation (AFC) and phase space reconstruction, to mPOD eigenvalues, detects early warning signs of LBO. At lower Φ, the ACF reveals significant and frequent bursts, indicating high instability and intermittent behavior. Phase space reconstruction shows distorted orbits with a spiral-like structure, characteristic of substantial damping and irregular behavior near blowout conditions.

Deciphering air quality index through sample entropy: A nonlinear time series analysis

Pollution and its impacts on human health have become a crisis in regions with poor air quality index (AQI), which is an indicator of concentrations of pollutants, prompting the United Nations (UN) to set sustainable development goals (SDG). The present study proposes a surrogate sample entropy-based method in tune with UN’s SDG, to assess AQI from the time series of any of the pollutants. New Delhi is one of the world's most polluted state capital, with a higher level of particulate matter (PM). The temporal data of the pollutants in New Delhi, recorded in the one-hour interval during the years 2016 and 2017, are subjected to time series analysis. The data collected from the Central Pollution Control Board of India are analyzed with special reference to PM and compared with the World Air Quality Report 2021 and University of Washington data. The dependence of PM2.5 concentration on humidity and rain is also studied. The study reveals the increase in complexity with the concentration of pollutants through the phase portrait. The sample entropy analysis of the nonlinear time series of the pollutants exhibits a linear relation with AQI suggesting the possibility of using sample entropy as a surrogate measure of AQI.

Characterizing the Solar Cycle Variability Using Nonlinear Time Series Analysis at Different Amounts of Dynamo Supercriticality: Solar Dynamo is Not Highly Supercritical

The solar dynamo is essentially a cyclic process in which the toroidal component of the magnetic field is converted into the poloidal one and vice versa. This cyclic loop is disturbed by some nonlinear and stochastic processes mainly operating in the toroidal to poloidal part. Hence, the memory of the polar field decreases in every cycle. On the other hand, the dynamo efficiency and, thus, the supercriticality of the dynamo decreases with the Sun’s age. Previous studies have shown that the memory of the polar magnetic field decreases with the increase of supercriticality of the dynamo. In this study, we employ popular techniques of time series analysis, namely, compute Higuchi’s fractal dimension, Hurst exponent, and Multi-Fractal Detrended Fluctuation Analysis to the amplitude of the solar magnetic cycle obtained from dynamo models operating at near-critical and supercritical regimes. We show that the magnetic field in the near-critical regime is governed by strong memory, less stochasticity, intermittency, and breakdown of self-similarity. On the contrary, the magnetic field in the supercritical region has less memory, strong stochasticity, and shows a good amount of self-similarity. Finally, applying the same time series analysis techniques in the reconstructed sunspot data of 85 cycles and comparing their results with that from models, we conclude that the solar dynamo is possibly operating near the critical regime and not too much supercritical regime. Thus the Sun may not be too far from the critical dynamo transition.

Machine learning approach to detect dynamical states from recurrence measures.

We integrate machine learning approaches with nonlinear time series analysis, specifically utilizing recurrence measures to classify various dynamical states emerging from time series. We implement three machine learning algorithms: Logistic Regression, Random Forest, and Support Vector Machine for this study. The input features are derived from the recurrence quantification of nonlinear time series and characteristic measures of the corresponding recurrence networks. For training and testing, we generate synthetic data from standard nonlinear dynamical systems and evaluate the efficiency and performance of the machine learning algorithms in classifying time series into periodic, chaotic, hyperchaotic, or noisy categories. Additionally, we explore the significance of input features in the classification scheme and find that the features quantifying the density of recurrence points are the most relevant. Furthermore, we illustrate how the trained algorithms can successfully predict the dynamical states of two variable stars, SX Her and AC Her, from the data of their light curves. We also indicate how the algorithms can be trained to classify data from discrete systems.

Uncertain nonlinear time series analysis with applications to motion analysis and epidemic spreading

Uncertain nonlinear time series analysis with applications to motion analysis and epidemic spreading

Spatio-temporal variations of climate along possible African-Arabian routes of H. sapiens expansion

Eastern Africa and Arabia were major hominin hotspots and critical crossroads for migrating towards Asia during the late Pleistocene. To decipher the role of spatiotemporal environmental change on human occupation and migration patterns, we remeasured the marine core from Meteor Site KL 15 in the Gulf of Aden and reanalyzed its data together with the aridity index from ICDP Site Chew Bahir in eastern Africa and the wet-dry index from ODP Site 967 in the eastern Mediterranean Sea using linear and nonlinear time series analysis. These analyses show major changes in the spatiotemporal paleoclimate dynamics at 400 and 150 ka BP (thousand years before 1950), presumably driven by changes in the amplitude of the orbital eccentricity. From 400 to 150 ka BP, eastern Africa and Arabia show synchronized wet-dry shifts, which changed drastically at 150 ka BP. After 150 ka BP, an overall trend to dry climate states is observable, and the hydroclimate dynamics between eastern Africa and Arabia are negatively correlated. Those spatio-temporal variations and interrelationships of climate potentially influenced the availability of spatial links for human expansion along those vertices. We observe positively correlated network links during the supposed out-of-Africa migration phases of H. sapiens. Furthermore, our data do not suggest hominin occupation phases during specific time intervals of humid or stable climates but provide evidence of the so far underestimated potential role of climate predictability as an important factor of hominin ecological competitiveness.

Ground air pollutants explanation based on multiple visibility graph of complex network by temporal community division.

In air pollution studies, the correlation analysis of environmental variables has usually been challenged by parametric diversity. Such variable variations are not only from the extrinsic meteorological conditions and industrial activities but also from the interactive influences between the multiple parameters. A promising solution has been motivated by the recent development of visibility graph (VG) on multi-variable data analysis, especially for the characterization of pollutants' correlation in the temporal domain, the multiple visibility graph (MVG) for nonlinear multivariate time series analysis has been verified effectively in different realistic scenarios. To comprehensively study the correlation between pollutant data and season, in this work, we propose a multi-layer complex network with a community division strategy based on the joint analysis of the atmospheric pollutants. Compared to the single-layer-based complex networks, our proposed method can integrate multiple different atmospheric pollutants for analysis, and combine them with multivariate time series data to obtain higher temporary community division for ground air pollutants interpretation. Substantial experiments have shown that this method effectively utilizes air pollution data from multiple representative indicators. By mining community information in the data, it successfully achieves reasonable and strong interpretive analysis of air pollution data.

Dispersion complexity-entropy curves: An effective method to characterize the structures of nonlinear time series.

The complexity-entropy curve (CEC) is a valuable tool for characterizing the structure of time series and finds broad application across various research fields. Despite its widespread usage, the original permutation complexity-entropy curve (PCEC), which is founded on permutation entropy (PE), exhibits a notable limitation: its inability to take the means and amplitudes of time series into considerations. This oversight can lead to inaccuracies in differentiating time series. In this paper, drawing inspiration from dispersion entropy (DE), we propose the dispersion complexity-entropy curve (DCEC) to enhance the capability of CEC in uncovering the concealed structures within nonlinear time series. Our approach initiates with simulated data including the logistic map, color noises, and various chaotic systems. The outcomes of our simulated experiments consistently showcase the effectiveness of DCEC in distinguishing nonlinear time series with diverse characteristics. Furthermore, we extend the application of DCEC to real-world data, thereby asserting its practical utility. A novel approach is proposed, wherein DCEC-based feature extraction is combined with multivariate support vector machine for the diagnosis of various types of bearing faults. This combination achieved a high accuracy rate in our experiments. Additionally, we employ DCEC to assess stock indices from different countries and periods, thereby facilitating an analysis of the complexity inherent in financial markets. Our findings reveal significant insights into the dynamic regularities and distinct structures of these indices, offering a novel perspective for analyzing financial time series. Collectively, these applications underscore the potential of DCEC as an effective tool for the nonlinear time series analysis.

Stacking-based neural network for nonlinear time series analysis

Stacking-based neural network for nonlinear time series analysis

Fourier phase index for extracting signatures of determinism and nonlinear features in time series.

Detecting determinism and nonlinear properties from empirical time series is highly nontrivial. Traditionally, nonlinear time series analysis is based on an error-prone phase space reconstruction that is only applicable for stationary, largely noise-free data from a low-dimensional system and requires the nontrivial adjustment of various parameters. We present a data-driven index based on Fourier phases that detects determinism at a well-defined significance level, without using Fourier transform surrogate data. It extracts nonlinear features, is robust to noise, provides time-frequency resolution by a double running window approach, and potentially distinguishes regular and chaotic dynamics. We test this method on data derived from dynamical models as well as on real-world data, namely, intracranial recordings of an epileptic patient and a series of density related variations of sediments of a paleolake in Tlaxcala, Mexico.

Nonlinear Time Series Analysis for Anomaly Detection in Cybersecurity using Cloud IoT

The CloudIoT is an extensive network that hosts several IoT gadgets and apps. This comprises the servers and the storage space required for real-time processing and operations. For commercial purposes, data gathered by IoT devices may be safely saved and handled on the cloud. CloudIoT allows for the scalable distribution of software. IoT devices capture information using built-in sensors and monitors. After collection, it is sent to a central location where data from other Internet of Things devices is kept. Cloud storage offers a scalable, cost-effective alternative for maintaining and administering IoT data—the capacity to grow or change quickly. More and more Internet of Things devices means a greater need for data storage and processing capacity. The cloud computing solution is scalable and adaptable enough to meet these shifting requirements. Hence, this paper proposes a nonlinear time series analysis for enhancing anomaly detection in cybersecurity based on Cloud-Internet of Things (CloudIoT-CS). Statistics like precision and positive and negative results are considered part of assessing the suggested methodology by comparing it against conventional anomaly detection techniques. The study also looks at the system's resistance to hostile assaults, guaranteeing its efficacy in practical cybersecurity settings. This study's findings provide a holistic and flexible approach that accounts for the unique challenges posed by CloudIoT settings. As well as improving the precision of anomaly identification, integrating nonlinear time series evaluation with CloudIoT creates a scalable and robust framework for protecting vital systems from ever-evolving cyber threats.

Impacts of non-locality and memory kernel of fractional derivative, awareness and treatment strategies on HIV/AIDS prevalence

We propose a Liouville–Caputo non-linear fractional order α(0<α≤1) epidemic model to understand the transmission dynamics of infectious diseases, like HIV/AIDS, and explore the presence of memory kernel of fractional derivative for the precautionary measure against the transmission of disease to control HIV/AIDS prevalence. A proper sex education, which depends on number of HIV and AIDS, to unaware susceptible as well as fear of infection among these aware susceptible are employed here. Treatment compartment is incorporated to treat the symptomatic HIV and AIDS infected individuals.Using the Banach fixed point theorem, we first ensure the positivity, existence and uniqueness of solution, and biologically feasible region. Next after defining the basic reproduction number (R0), its uses on stability (local and global) and direction of bifurcation are manifested here. A quantitative assessment is conducted onR0and then we explore the sensitive parameter/s, which control the HIV/AIDS prevalence.Numerical experiment is conducted based on the Adams–Bashforth–Moulton predictor corrector method to obtain the approximate solution of the proposed model. Impacts of disease transmission rate, awareness, psychological fear of infection and treatment strategies on the HIV/AIDS prevalence are analysed based on non-linear dynamical tools, like, time series, phase diagram and spectra analysis. An effort is made to see how the order and kernel of the fractional derivative play a crucial role on the dynamics of the system and in the precautionary measure against the transmission of disease during transition as well as post-transition phases. We employ intervention strategies for controlling the spread as well as possibility of eradicating the HIV/AIDS prevalence. It is seen that the reduction ofαis comparable to awareness, psychological fear of infection and treatment strategies to control disease. Finally, it is shown that the use of fractional derivative in disease transmission dynamics is one of the most efficient applied mathematics content compatible with the natural characteristics of human memory.