An entropic approach to the analysis of time series.

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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. ... continued below

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Scafetta, Nicola December 2001.

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  • Scafetta, Nicola

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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 exists and can be established by using the DEA. Therefore, only the joint use of two different scaling analysis methods, the variance scaling analysis and the DEA, can assess the real nature, Gauss or Lévy or something else, of a time series. Moreover, the DEA determines the information content, under the form of Shannon entropy, or of any other convenient entopic indicator, at each time step of the process that, given a sufficiently large number of data, is expected to become diffusion with scaling. This makes it possible to study the regime of transition from dynamics to thermodynamics, non-stationary regimes, and the saturation regime as well. First of all, the efficiency of the DEA is proved with theoretical arguments and with numerical work on artificial sequences. Then we apply the DEA to three different sets of real data, Genome sequences, hard x-ray solar flare waiting times and sequences of sociological interest. In all these cases the DEA makes new properties, overlooked by the standard method of analysis, emerge.

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  • December 2001

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  • Sept. 25, 2007, 11:01 p.m.

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  • May 7, 2008, 12:56 p.m.

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Scafetta, Nicola. An entropic approach to the analysis of time series., dissertation, December 2001; Denton, Texas. (digital.library.unt.edu/ark:/67531/metadc3033/: accessed July 22, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; .