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Detection of dynamical regime transitions with lacunarity as a multiscale recurrence quantification measure
2021, Braun, Tobias, Unni, Vishnu R., Sujith, R.I., Kurths, Juergen, Marwan, Norbert
We propose lacunarity as a novel recurrence quantification measure and illustrate its efficacy to detect dynamical regime transitions which are exhibited by many complex real-world systems. We carry out a recurrence plot-based analysis for different paradigmatic systems and nonlinear empirical data in order to demonstrate the ability of our method to detect dynamical transitions ranging across different temporal scales. It succeeds to distinguish states of varying dynamical complexity in the presence of noise and non-stationarity, even when the time series is of short length. In contrast to traditional recurrence quantifiers, no specification of minimal line lengths is required and geometric features beyond linear structures in the recurrence plot can be accounted for. This makes lacunarity more broadly applicable as a recurrence quantification measure. Lacunarity is usually interpreted as a measure of heterogeneity or translational invariance of an arbitrary spatial pattern. In application to recurrence plots, it quantifies the degree of heterogeneity in the temporal recurrence patterns at all relevant time scales. We demonstrate the potential of the proposed method when applied to empirical data, namely time series of acoustic pressure fluctuations from a turbulent combustor. Recurrence lacunarity captures both the rich variability in dynamical complexity of acoustic pressure fluctuations and shifting time scales encoded in the recurrence plots. Furthermore, it contributes to a better distinction between stable operation and near blowout states of combustors.
Recurrence flow measure of nonlinear dependence
2022, Braun, Tobias, Kraemer, K. Hauke, Marwan, Norbert
Couplings in complex real-world systems are often nonlinear and scale dependent. In many cases, it is crucial to consider a multitude of interlinked variables and the strengths of their correlations to adequately fathom the dynamics of a high-dimensional nonlinear system. We propose a recurrence-based dependence measure that quantifies the relationship between multiple time series based on the predictability of their joint evolution. The statistical analysis of recurrence plots (RPs) is a powerful framework in nonlinear time series analysis that has proven to be effective in addressing many fundamental problems, e.g., regime shift detection and identification of couplings. The recurrence flow through an RP exploits artifacts in the formation of diagonal lines, a structure in RPs that reflects periods of predictable dynamics. Using time-delayed variables of a deterministic uni-/multivariate system, lagged dependencies with potentially many time scales can be captured by the recurrence flow measure. Given an RP, no parameters are required for its computation. We showcase the scope of the method for quantifying lagged nonlinear correlations and put a focus on the delay selection problem in time-delay embedding which is often used for attractor reconstruction. The recurrence flow measure of dependence helps to identify non-uniform delays and appears as a promising foundation for a recurrence-based state space reconstruction algorithm.