Analyzing long-term correlated stochastic processes by means of recurrence networks: Potentials and pitfalls

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	Analyzing long-term correlated stochastic processes by means of recurrence networks: Potentials and pitfalls
	Zou, Y; Donner, RV; Kurths, J
刊名	PHYSICAL REVIEW E
	2015
卷号	91 期号:2 页码:22926
通讯作者	Zou, Y (reprint author), E China Normal Univ, Dept Phys, Shanghai 200062, Peoples R China.
英文摘要	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.
学科主题	Physics
类目[WOS]	Physics, Fluids & Plasmas ; Physics, Mathematical
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
内容类型	期刊论文
源URL	[http://ir.itp.ac.cn/handle/311006/21082]
专题	理论物理研究所_理论物理所1978-2010年知识产出
推荐引用方式 GB/T 7714	Zou, Y,Donner, RV,Kurths, J. 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.(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.