Time Series Analysis
Uploaded by
Rafael BarriosTime Series Analysis
Uploaded by
Rafael Barrios
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243 j 3c243 q Bbbeaej 3 nc}_a} 3 b 2 f 3 fhrb q BbN
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ac_f 3 ncbNaNoUb 2 bNn
}og>g 243 be_a 3 jzgiB| 3 jz 2 nm 2 n q jza b 2 og4jzaNgA| 2 q fhacbej 3 b}fha 2>3 be_g>g 2>s _ 3 bi)jJbejj 3 jzg>|Wn 2 nP:_jzonc_}og>g>|
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fhaj 3o3 fzb:_
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q _aejbeoac_zmJ}fza 2>3 ncbej 3 _zmzj 3 q gj|0j 32 q fzacb=j 3 bj 3 ifz}~bN_ 3 3 j 3 b 2 2 q jJbN_iacfhg4_ 2>3 bNdo__d)j 2 fha fz}
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=d)j q be_am 2 nj q jzacb 2 jzgoncfhg4rb 2 f 3
bef bNd 2 n q aNfhog>_ 2 b 3 fzb/f 3 gA|| 2 _g4iononN_U}og 243 }fzaNjJb 2 f 3 jz:fhBbbedo_:_d)j 2 fhafz}bNdo_ 3 _jJnNoac_i
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_U 2 ncb 243 n 2 io_bNdo_0ogjJ=wf\
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fz} 3 jJbeBaejzgj 3 iQj 3 t8jzio_0nc|WncbN_n 2 n 3 f 3 g 243 _jzam)oBb jJg4fhncbjzg>g#be_UWb t
:frfhb 2 _Ut8nc_a 2 _nj 3 jzg>|Wn 2 nbN_=d 3o2 o_njzac_g 2 2 be_ibefg 243 _jzanc|WncbN_n\do_fhWc_Ub 2 h_wfz}`bed 2 n
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b 2 f 3 n
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fz}'bNdo_=d)j q bN_abNdo_ 3 }fronN_n`f 33 f 3 g 243 _jza
nc|WncbN_nmBfyh_a 243os jaN_ q aN_nN_ 3 bejJb 2 h_nNjz q g 2>3os fz}'bedB_
b 2 _t8nc_a 2 _nPj 3 jzgA|Wn 2 nbe_=d 3o2 WB_nHbNd)jJbdojyz_G:__ 3 iB_h_g4f q _i|bedB_ 3 f 3 g 243 _jzaiB| 3 jz 2 nHfht
G 3B2 b8|6fyh_aHbedo_ q jzn bio_jzio_Jm 2 bedjn q _ 2 )_ q d)jzn 2 nHf 3 dofybedofznN_bN_=d 3o2 o_n jJaN_BnN_}Bg
243 {!kj qoq g 2 jJb 2 f 3 n\
bNdo_afhG 3B2 b 2 _nmfz}fhoacnN_Jm/d)jh_wio_Uh_g4f q _ii 2A _aN_ 3 bGj qoq acfjz=do_n
bef 3 f 3 g 2>3 _jJab 2 _t8nc_a 2 _nj 3 jzg>|Wn 2 n\ 3 _
fz}bedB_
fhac_}Sjzfhon 2 nGoz_U|n _U q g>fhaejJbNfhac|]i)jJbej
j 3 jJg>|Wn 2 nm]jncg4_Bbed 2>3os j qBq aNfjJ=dbed)jJbG_ q d)jzn 24 _n6j 3 inN qBq fha bene 2 nN)jJg`_UBjz 243 jJb 2 f 3 fyh_a
og 243 i'm#BaNBbN_Ut}fzaN_i 2>s _n b 2 f 3 fJ}i)jJbej 2>3 bef6ncbejJb 2 ncb 2 nj 3 iaN_ s aN_nNn 2 f 3 oa h_n J \ p fh_fJ}`bedB_
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nN_ 3 b 243Bs bedB_`i)jJbejHjznjbNfho=d q jJbNbN_a 3 mJd 2 =dGd)jzn__ 3 q aNf q fhnN_i}fha aN_jzi 2>3os jzf s aejzny zx
fhai)jb=jnNf 3B2 )jJb 2 f 3 \
do_:frir|-fz}bed 2 n=d)j q bN_a 2 nfza s j 3B24 _ijzn}fhg>g4fyn\^|-`j|fJ} )jz= s acfh 3 i'mnc_b 2 f 3v
x(t)
X(s)
input
h(t)
y(t)
H(s)
Y(s)
system
output
2>s oaN_ v dB_ c2>3 q Bbbeaej 3 nc}_aP} 3 Ub 2 f 3 fzBb q rbe}aNjz_fhaN6fz}bNaejzi 2 b 2 f 3 jzg#n 24sh3 jzg q aNfJt
_nNn 243os \
f q /b 2 _Hiofhj 243 \^`fzbNbNfh}aN_WB_ 3 U|QiBfhj 243 \
2 =gA|]ac_ 2 _Unncfh_fz}bNdo_bNaejzi 2 b 2 f 3 jzg_UbedofWion0bed)jJbj qoq g>|bef <4?>7;UDJR n |Wncbe_n\ p _b 2 f 3
fyz_aNnbedo_0)jJaN_0_ncnN_ 3 b 2 jzg>nPfz}iB| 3 jz 2 jzg#nc|Wn be_nbedo_fhac|j 3 i q aNjzb 2 _zobedB_nN_jzac_0bNdo_0)jzn 2 nfz}
bedB_ s _ 3 _aNjzgbNdo_fha |fJ}iB| 3 jz 2 nbedojJbj qBq g 2 _n0befj 3 |]nc|Wn be_m/g 2>3 _jJafha 3 f 3 g 243 _jza\Q{}jJg4g
fz}
bedB_ 2 q fhacbej 3 b q aNf q _a b 2 _nfz}'bedB_Pb=jJa s _Ub`n |rn be_j 3 :_ 2 iB_ 3 b 2 )_ij 3 i_jJnNoac_i
j 3 ibedo_i)jJbej
jzac_ojzn 2 jzg>g>| 3 f 2 nc_UtE}aN__Jmobedo_nN_0be_=d 3o2 o_nmjzg4f 3 _zmoj 3 q aNfy 2 io_jGh_ac| s fWfri
ncfhg4rb 2 f 3 bNfj 3 |
3 f 3 g 243 _jzaiojJb=jt8j 3 jzgA|Wn 2 n q aNfhog>_n\
{}bedo_aN_jzaN_ }__anN_ 3 nNfzaNnbed)j 3 ncbejJbe_0Jjza 2 jzog>_nmrdofy`_Uh_am
f 3 _oncb
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do_aN__U 2 n bbN_=d 3B2 o_nbed)jb )g>bN_aN 3 f 3 g 2>3 _jzab 2 _UtnN_a 2 _ni)jJbejBmobeoa 3o243Bs bNdo_ 3 f 3 g 243 _jza 2 b8|bNf
jziBJj 3 bej s _ j 3 i
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_UBjz q g>_nbNd)jJbio_f 3 n beaejbe_:fzbedbedo_j 3 jzg>|Wn 2 n_UbedofWionfz}onN_Ub 2 f 3 j 3 ibedo_iB_gj|t8frfzaNi 2>3 jJbe_
aN_f 3 ncbeacob 2 f 3 bN_=d 3B2 o_nfJ}nc_Ub 2 f 3
moj 3 i
f 3 g4Bio_n` 2 bedwncfh_i 2 nconcn 2 f 3 fz}#bedB_Bb 2 g 2 b8|fz}
bedB_nN__bedBfrion 2>36243 be_g4g 2>s _ 3 b`i)jJb=jj 3 jJg>|Wn 2 n\
HG w
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)jJn 2 }aejz_fhac]fz}bNaejzi 2 b 2 f 3 jzg
n 24sh3 jJg`j 3 jzg>|Wn 2 ny `2 nnN=do_jJb 24 _i 243 24s \ v 2432 bmj 3
243 q Bbn 24sz3 jzg 2 nj qoq g 2 _ibNfj6nc|WncbN_bef6| 2 _g>ij 3 fhBb q Bb\ 3 _j 3 io_nca 2 _bed 2 n q aNfW_nNn 2>3
bedB_Pb 2 _iofhj 2>3 mon 2>3os bedB_ ?4Xz<>MU;`RU;eMTZ7oMU; ~c
bNfGfWio_gIbNdo_n |rn be_Qmrfha 2>3 bedB_H}aN_WB_ 3 U|
iofhj 2>3 m'on 243os bedB_ R;BXW;e7YcKRU;eMTZ7oM; bNaej 3 n }_a } 3 Ub 2 f 3 EZU\dB_ 2 q og4nc_GaN_n q f 3 nN_fz}`j
nc|Wn be_ 2 n 2 bNnbeaNj 3 n 2 _ 3 b`aN_n q f 3 nN_HbNfGj 2 = 2 =~!U
v ~c !UUWbedo_}aN_WB_ 3 U|
aN_n q f 3 nc_ EZio_nNa 2 :_nmo}fhajzg>g'hmBd)jbbedo_ n |rn be_iofr_nbefjGn 243 onNf 2 i)jzg 243 q rbfz} }aN_WB_ 3 U|
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Average Mutual Information for Lorenz Signal
False near Neighbor Analysis for Lorenz Signal
0.9
0.75
0.7
0.6
FNN %
Average Mutual Information (AMI)
0.8
0.5
0.5
0.4
0.25
0.3
0.2
10
20
30
Time Delay ()
40
50
60
4
Embedding Dimension
Boxcounting Dimension for Lorenz Signal
8
Calculated Boxcounting Dimension
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0
4
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20
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400
500
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500
500
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243 bN_aNg>_jh_i
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do_bN_ncbaN 3 q g4fzbcbe_i 243 24s \ vzv `jzn=dofznN_ 3 }fhabed 2 n_UBjz q g4__jzBnN_bNdo_ q _ 3 ioBg4o
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b 2 _t8nc_a 2 _n n 2>sh3 jzgfznN 2 g4g4jJb 2 f 3 nbNd)jJb`jzaN_ 2 bN_Pn 2 2 gjJaoBb 3 fzb 2 io_ 3 b 2 jzgIj 3 ibed)jJbjzg>fzncbHSorb
3 fzbW 2 be_HaN_ q _jJb\dofh s dbedo_nN_ q jJbcbe_a 3 n0jzac_d 24s dBg>|nN szs _n b 2 z_zm'bNdo_|jJaN_z_ac|i 2> Bg>bHbNf
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ncbNaNoUbeoac_
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bedB_aN_ 2 n 3 f6j 3Bs ogjJaPh_g4fW 2 b8|nN_ 3 nNfza0j 3 ijJbNbN_ q benPbef
fz q rbe_j 3Bs ogjJaPh_g4fW 2 b8| 2 ji 2 2 io_i
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243 bNdo_ #fhaN_ 3o _UBjz q g4_Jm/bedo_6__ioi 243Bs q aNfW_iBoaN_6:_ sh2>3 nG 2 bNd-j 3 _ncb 2 jJb 2 f 3 fz} 7'\ [Q{
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j 3 jJg>|Wn 2 nm 2 n_UWbeac__g>| q fy_ac}Bg }fza 243 be_g4g 2>s _ 3 b`i)jJb=jj 3 jzg>|Wn 2 n\
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3 }fzg4ion/jJ:n 7 s aNfyn\do_ q _ 3 ioBg4o i)jJb=jH_ac_ s aN_jJbegA|fyz_aNnNjz q g4_i'mnNf 2 b 2 n q fhncn 2 og4_bef ac_jJbN_
jbed 2>3o3 _a _G_ioi 2>3os bNd)j 3243 bedoG_ #fhaN_ 3o _UBjz q g4_Jmzjzn ncdofy 3G243 q jza bSj'fz}Wbed 2 n 24s oac_z\d 2 n 2 n
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n q a 243 Wg 243os fJ} 3 f 2 nc| q f 243 benPcon bfhBben 2 io_wbNdo_
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befWfhg>nPio_nNa 2 :_i 2>3 nN_b 2 f 3 j 3 _oaNfh s dbbef
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Sj
Average Mutual Information for Pendulum Data
False Near Neighbor Analysis for Pendulum Data
0.4
0.35
0.3
FNN %
Average Mutual Information (AMI)
0.75
0.5
0.25
0.25
0.2
0.15
10
15
20
SI
25
30
Time Delay ()
35
40
45
50
4
Embedding Dimension
Boxcounting Dimension for Pendulum Data
Calculated Boxcounting Dimension
S i)
2>s oaN_ vhv =d)jzfzb 2 wnc_ 3 ncfhai)jJbejnN_b}acfhj q jzaejz_bNa 2 jzg>g>|}fhac_i q _ 3 ioog4BQjb 2 _Ut
iofhj 2>3 q g4fzbfz}bedo_fzj 3os g4_zm)_jJnNoac_ifWioog4f S)[Q{0SH j 3 iiI g HaN_nNogAbenm
jzg>gfzoacbN_nc|fz}zfW_ {j 3 nN 2 \
0
5
6
7
Embedding Dimension
10
11
24s BaN_ vZ /G:_iBi 243os nfz}bNdo_ q _ 3 ioog>o i)jJbejnN_b}acfh q jJacbj`fJ} 2>s \ vzv \
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2 nbefj 3 jzgA| _bNdo_wiB| 3 jz 2 nfz}jfh q g 2 jbe_i 3 f 3 g 243 _jza0nc|WncbN_m sh2 z_ 3 f 3 g>|_jzncoaN__ 3 bNn
fz} f 3 _GncbejJbe_GJjza 2 jzog>_z\Pdo_Gbe_=d 3o2 o_n io_nca 2 :_i 243 nc_Ub 2 f 3 fz}/bed 2 n=d)j q be_am'fh q g>_i 2 bNd
bedB_bNdo_fha |-fyh_aN_i 243 nN_b 2 f 3 m`jzz_6n 2>sh3o2 )j 3 b 243 aNfjziBnf 3 bNd 2 n q aNfzog4_Qmjzg4g>fy 243os f 3 _
befioaejonN_U}ogEmcon b 2 Ijzog>_zmj 3 inc_ 3 n 2 og>_f 3 g>on 2 f 3 n
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fhBb q Bbfz}jn 243os g4_
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:ti 2 _ 3 n 2 f 3 jzg)iB| 3 jz 2 nfJ}'bedo_Pnc|WncbN_ 243 n 2 io_bedo_PogjJ=:fmoj 3 ibedofznN_ 2>3 Jjza 2 j 3 bNnjJaN_HBnN_}Bg
befWfhg>n}fha 243 be_g4g 2>s _ 3 b iojJb=jj 3 jzgA|Wn 2 n\ 2 _t8nc_a 2 _nj 3 jJg>|Wn 2 n0bNfrfzg4n}fha <>?47;DJR nc|WncbN_nGjzac_Go=d
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bedB_
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243 ionfz}befWfhg4n 2 nnc_z_aN_g>|g 2 2 bN_i'\ 2 gAbe_a 243os fhBb 3 f 2 nN_zm}fza
_UBjz q g>_zm 2 n}Sj 2 acg>|n beaNj 24s dbc}fhac`jzaNi-do_ 3 f 3 _ 2 nfhaN 243Bs 2 bNdiojJb=j}aNfhj]g 2>3 _jJanc|WncbN_
f 3 _n 2 q g>|beaej 3 nc}fhacn bNdo_iojJb=j 243 bef
bNdo_}ac_o_ 3 |]iofhj 243 j 3 i]BnN_njg>fyt q jzncn )g>bN_a\{ 3
3 f 3 g 243 _jza/n |rn be_nmBnN_ q jzaNjJb 2>3os n 24sh3 jzgo}aNfh 3 f 2 nc_ 2 n q aNfhBg4_jJb 2 zmhjznbNdo_}fhaN_a 2 nfz}~bN_ 3 oaNfhjzi
)j 3 i6j 3 iwbedonbNdo_Hb8fjJaN_ 2>3 bN_ac 2>3os g4_i'\SPf 2 nN_Jm 243 2 iB_ 3 b=jzg>g>|zm 2 n 243 3o2 bN_Uti 2 _ 3 n 2 f 3 jzgEmhncf 2 bNn
2 q g 2 jb 2 f 3 n`}fha_G:_iBi 243os i 2 _ 3 n 2 f 3 jJg4BgjJb 2 f 3 njzac_i 2 aN_Jac_jJg4g bedo_ w v aN_W 2 aN__ 3 b
243 bedo_
_G_ioi 2>3os bedo_fhaN_n\do_aN_6d)jznG:__ 3 nNfh_waN__ 3 bfhaN]f 33 f 3 g 243 _jza )g>bN_a 243os
jzg s fha 2 bedony vyx m 243 g4oi 2>3os _ <98;=RU;VVo;=<DUK H8YTWTZRUV?47IDB98;;e6B;VoV?>7B@ hx j 3 ij 3243 bea 24s 243os be_=drt
3o2 WB_6bNd)jJb_ q g4f 2 benGbedB_n b=jzBg4_6j 3 i- 3 ncb=jJog4_6j 3o2 }fzg4in beaNBbeBaN_6fz}Hj=dojzfzb 2 jJbNbNaejzUbefhabNf
fz q ac_ncnHbedo_ 3 f 2 nN_ojzg4g\do_GgjbNbe_aP_bNdofWiaN_W 2 aN_nHfh q g4_bN_ 3 fyg>_i s _fz}/bedo_iB| 3 jz 2 n
bedo_Q k /nbNd)jJb s fyz_a 3 bedo_6nc|Wn be_\ p 243 _Qac_h_aNnc_Ut8_ 3osh2>3 __a 243Bs k /n}acfhb 2 _Ut8nc_a 2 _n
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2 n0d)jJaNibef q Bb 243 bef q aNjzb 2 _J\
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