An entropic approach to the analysis of time series.
Date: December 2001
Creator: Scafetta, Nicola
Description: Statistical analysis of time series. With compelling arguments we show that the Diffusion Entropy Analysis (DEA) is the only method of the literature of the Science of Complexity that correctly determines the scaling hidden within a time series reflecting a Complex Process. The time series is thought of as a source of fluctuations, and the DEA is based on the Shannon entropy of the diffusion process generated by these fluctuations. All traditional methods of scaling analysis, instead, are based on the variance of this diffusion process. The variance methods detect the real scaling only if the Gaussian assumption holds true. We call H the scaling exponent detected by the variance methods and d the real scaling exponent. If the time series is characterized by Fractional Brownian Motion, we have H¹d and the scaling can be safely determined, in this case, by using the variance methods. If, on the contrary, the time series is characterized, for example, by Lévy statistics, H ¹ d and the variance methods cannot be used to detect the true scaling. Lévy walk yields the relation d=1/(3-2H). In the case of Lévy flights, the variance diverges and the exponent H cannot be determined, whereas the scaling d ...
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Scaling Detection in Time Series: Diffusion Entropy Analysis
Date: September 25, 2002
Creator: Scafetta, Nicola & Grigolini, Paolo
Description: This article discusses scaling detection in time series. The methods currently used to determine the scaling exponent of a complex dynamic process described by a time series are based on the numerical evaluation of variance. This means that all of them can be safely applied only to the case where ordinary statistical properties hold true even if strange kinetics are involved. The authors illustrate a method of statistical analysis based on the Shannon entropy of the diffusion process generated by the time series, called diffusion entropy analysis (DEA). The authors adopt artificial Gauss and Lévy time series, as prototypes of ordinary and anomalous statistics, respectively, and the authors analyze them with the DEA and four ordinary methods of analysis, some of which are very popular. The authors show that the DEA determines the correct scaling exponent even when the statistical properties, as well as the dynamic properties, are anomalous. The other four methods produce correct results in the Gauss case but fail to detect the correct scaling in the case of Lévy statistics.
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Diffusion Entropy and Waiting Time Statistics of Hard-X-Ray Solar Flares
Date: March 25, 2002
Creator: Grigolini, Paolo; Leddon, Deborah & Scafetta, Nicola
Description: This article discusses diffusion entropy and waiting time statistics of hard-x-ray solar flares. Abstract: We show at work a technique of scaling detection based on evaluating the Shannon entropy of the diffusion process obtained by converting the time series under study into trajectories. This method, called diffusion entropy, affords information that cannot be derived from the direct evaluation of waiting times. We apply this method to the analysis of the distribution of time distance τ between two nearest-neighbor solar flares. This traditional part of the analysis is based on the direct evaluation of the distribution function ψ(τ), or of the probability ψ(τ), that no time distance smaller than a given τ is found. We adopt the paradigm of the inverse power-law behavior, and the authors focus on the determination of the inverse power index μ, without ruling out different asymptotic properties that might be revealed, at larger scales, with the help of richer statistics. We then use the DE method, with three different walking rules, and the authors focus on the regime of transition to scaling. This regime of transition and the value of the scaling parameter itself, δ, depends on the walking rule adopted, a property of interest to ...
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Lévy Scaling: The Diffusion Entropy Analysis Applied to DNA Sequences
Date: September 20, 2002
Creator: Scafetta, Nicola; Latora, Vito & Grigolini, Paolo
Description: This article discusses Lévy scaling and the diffusion entropy analysis applied to DNA sequences. Abstract: We address the problem of the statistical analysis of a time series generated by complex dynamics with the diffusion entropy analysis (DEA) [N. Scafetta, P. Hamilton, and P. Grigolini, Fractals 9, 193 (2001)]. This method is based on the evaluation of the Shannon entropy of the diffusion process generated by the time series imagined as a physical source of fluctuations, rather than on the measurement of the variance of this diffusion process, as done with the traditional methods. We compare the DEA to the traditional methods of scaling detection and prove that the DEA is the only method that always yields the correct scaling value, if the scaling condition applies. Furthermore, DEA detects the real scaling of a time series without requiring any form of detrending. We show that the joint use of DEA and variance method allows to assess whether a time series is characterized by Lévy or Gauss statistics. We apply the DEA to the study of DNA sequences and prove that their large-time scales are characterized by Lévy statistics, regardless of whether they are coding or noncoding sequences. We show that the ...
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Solar Turbulence in Earth's Global and Regional Temperature Anomalies
Date: February 26, 2004
Creator: Scafetta, Nicola; Grigolini, Paolo; Imholt, Timothy; Roberts, Jim & West, Bruce J.
Description: This article presents a study of the influence of solar activity on the earth's temperature. In particular, the authors focus on the repercussion of the fluctuations of the solar irradiance on the temperature of the Northern and Southern hemispheres as well as on land and ocean regions. While solar irradiance data are not directly analyzed, the authors make use of a published solar irradiance reconstruction for long-time-scale fluctuations, and for short-time-scale fluctuations the authors hypothesize that solar irradiance and solar flare intermittency are coupled in such a way that the solar flare frequency fluctuations are stochastically equivalent to those of the solar irradiance. The analysis is based upon wavelet multiresolution techniques and scaling analysis methods for processing time series. The limitations of the correlation analysis applied to the short-time-scale fluctuations are discussed. The scaling analysis uses both the standard deviation and the entropy of the diffusion generated by the temperature signals. The joint use of these two scaling methods yields evidence of a Levy component in the temporal persistence of the temperature fluctuations within the temporal range from a few weeks to a few years. This apparent Levy persistence of the temperature fluctuations is found, by using an appropriate model, ...
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Compression and Diffusion: A Joint Approach to Detect Complexity
Date: February 2003
Creator: Allegrini, Paolo; Benci, V. (Vieri); Grigolini, Paolo; Hamilton, P.; Ignaccolo, Massimiliano; Menconi, G. et al
Description: This article discusses a joint approach to detect complexity. Abstract: The adoption of the Kolmogorov-Sinai (KS) entropy is becoming a popular research tool among physicists, especially when applied to a dynamical system fitting the conditions of validity of the Pesin theorem. The study of time series that are a manifestation of system dynamics whose rules are either unknown or too complex for a mathematical treatment, is still a challenge since the KS entropy is not computable, in general, in that case. Here the authors present a plan of action based on the joint action of two procedures, both related to the KS entropy, but compatible with computer implementation through fast and efficient programs. The former procedure, called Compression Algorithm Sensitive To Regularity (CASToRe), establishes the amount of order by the numerical evaluation of algorithmic compressibility. The latter, called Complex Analysis of Sequences via Scaling AND Randomness Assessment (CASSANDRA), establishes the complexity degree through the numerical evaluation of the strength of an anomalous effect. This is the departure, of the diffusion process generated by the observed fluctuations, from ordinary Brownian motion. The CASSANDRA algorithm shares with CASToRe a connection with the Kolmogorov complexity. This makes both algorithms especially suitable to study ...
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