Complex network approach to fractional time series

0533504 - ÚI 2021 US eng J - Journal Article
Manshour, Pouya
Complex network approach to fractional time series.
Chaos. Roč. 25, č. 10 (2015), č. článku 103105. ISSN 1054-1500. E-ISSN 1089-7682
Keywords : multifractal formalism * visibility graph * dynamics * exponent * spectra * signals * noises
Impact factor: 2.049, year: 2015

In order to extract correlation information inherited in stochastic time series, the visibility graph algorithm has been recently proposed, by which a time series can be mapped onto a complex network. We demonstrate that the visibility algorithm is not an appropriate one to study the correlation aspects of a time series. We then employ the horizontal visibility algorithm, as a much simpler one, to map fractional processes onto complex networks. The degree distributions are shown to have parabolic exponential forms with Hurst dependent fitting parameter. Further, we take into account other topological properties such as maximum eigenvalue of the adjacency matrix and the degree assortativity, and show that such topological quantities can also be used to predict the Hurst exponent, with an exception for anti-persistent fractional Gaussian noises. To solve this problem, we take into account the Spearman correlation coefficient between nodes' degrees and their corresponding data values in the original time series.
Permanent Link: http://hdl.handle.net/11104/0311879