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Analyzing long-term correlated stochastic processes by means of recurrence networks: Potentials and pitfalls
Zou, Y; Donner, RV; Kurths, J; Zou, Y (reprint author), E China Normal Univ, Dept Phys, Shanghai 200062, Peoples R China.
2015
发表期刊PHYSICAL REVIEW E
卷号91期号:2页码:22926
文章类型Article
摘要Long-range correlated processes are ubiquitous, ranging from climate variables to financial time series. One paradigmatic example for such processes is fractional Brownian motion (fBm). In this work, we highlight the potentials and conceptual as well as practical limitations when applying the recently proposed recurrence network (RN) approach to fBm and related stochastic processes. In particular, we demonstrate that the results of a previous application of RN analysis to fBm [Liu et al., Phys. Rev. E 89, 032814 (2014)] are mainly due to an inappropriate treatment disregarding the intrinsic nonstationarity of such processes. Complementarily, we analyze some RN properties of the closely related stationary fractional Gaussian noise (fGn) processes and find that the resulting network properties are well-defined and behave as one would expect from basic conceptual considerations. Our results demonstrate that RN analysis can indeed provide meaningful results for stationary stochastic processes, given a proper selection of its intrinsic methodological parameters, whereas it is prone to fail to uniquely retrieve RN properties for nonstationary stochastic processes like fBm.
学科领域Physics
资助者NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A]
DOIhttp://dx.doi.org/10.1103/PhysRevE.91.022926
关键词[WOS]DETRENDED FLUCTUATION ANALYSIS ; TIME-SERIES ; STRANGE ATTRACTORS ; SYSTEMS ; TRANSITIONS ; PERSISTENCE ; DIMENSION ; EVOLUTION ; PLOTS
收录类别SCI
语种英语
资助者NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; NNSF of China [11305062, 11135001, 81471651] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; Specialized Research Fund (SRF) for the Doctoral Program [20130076120003] ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; SRF for ROCS, SEM ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; Open Project Program of State Key Laboratory of Theoretical Physics, Institute of Theoretical Physics, Chinese Academy of Sciences, China [Y4KF151CJ1] ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Academic Exchange Service (DAAD) ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A] ; German Federal Ministry for Education and Research (BMBF) [01LN1306A]
WOS类目Physics, Fluids & Plasmas ; Physics, Mathematical
引用统计
文献类型期刊论文
条目标识符http://ir.itp.ac.cn/handle/311006/21082
专题理论物理所SCI论文
通讯作者Zou, Y (reprint author), E China Normal Univ, Dept Phys, Shanghai 200062, Peoples R China.
推荐引用方式
GB/T 7714
Zou, Y,Donner, RV,Kurths, J,et al. Analyzing long-term correlated stochastic processes by means of recurrence networks: Potentials and pitfalls[J]. PHYSICAL REVIEW E,2015,91(2):22926.
APA Zou, Y,Donner, RV,Kurths, J,&Zou, Y .(2015).Analyzing long-term correlated stochastic processes by means of recurrence networks: Potentials and pitfalls.PHYSICAL REVIEW E,91(2),22926.
MLA Zou, Y,et al."Analyzing long-term correlated stochastic processes by means of recurrence networks: Potentials and pitfalls".PHYSICAL REVIEW E 91.2(2015):22926.
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