Effect of nonlinearity of discrete Langevin model on behavior of extremes in generated time series

Czechowski, Zbigniew; Telesca, Luciano

doi:10.1016/j.chaos.2024.114927

Chaos, Solitons & Fractals

2024

DOI: 10.1016/j.chaos.2024.114927

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Effect of nonlinearity of discrete Langevin model on behavior of extremes in generated time series

Zbigniew Czechowski,

Luciano Telesca

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2024

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Information–Theoretic Analysis of Visibility Graph Properties of Extremes in Time Series Generated by a Nonlinear Langevin Equation

Telesca,

Czechowski

2024

Mathematics

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In this study, we examined how the nonlinearity α of the Langevin equation influences the behavior of extremes in a generated time series. The extremes, defined according to run theory, result in two types of series, run lengths and surplus magnitudes, whose complex structure was investigated using the visibility graph (VG) method. For both types of series, the information measures of the Shannon entropy measure and Fisher Information Measure were utilized for illustrating the influence of the nonlinearity α on the distribution of the degree, which is the main topological parameter describing the graph constructed by the VG method. The main finding of our study was that the Shannon entropy of the degree of the run lengths and the surplus magnitudes of the extremes is mostly influenced by the nonlinearity, which decreases with with an increase in α. This result suggests that the run lengths and surplus magnitudes of extremes are characterized by a sort of order that increases with increases in nonlinearity.

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Information–Theoretic Analysis of Visibility Graph Properties of Extremes in Time Series Generated by a Nonlinear Langevin Equation

Telesca,

Czechowski

2024

Mathematics

View full text Add to dashboard Cite

show abstract

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Effect of nonlinearity of discrete Langevin model on behavior of extremes in generated time series

Cited by 1 publication

References 38 publications

Information–Theoretic Analysis of Visibility Graph Properties of Extremes in Time Series Generated by a Nonlinear Langevin Equation

Information–Theoretic Analysis of Visibility Graph Properties of Extremes in Time Series Generated by a Nonlinear Langevin Equation

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