# -*- coding: utf-8 -*-
from __future__ import (absolute_import, division,
print_function, unicode_literals)
from builtins import *
import numpy as np
import warnings
import math
def rowwise_chebyshev(x, y):
return np.max(np.abs(x - y), axis=1)
def rowwise_euclidean(x, y):
return np.sqrt(np.sum((x - y)**2, axis=1))
def poly_fit(x, y, degree, fit="RANSAC"):
# check if we can use RANSAC
if fit == "RANSAC":
try:
# ignore ImportWarnings in sklearn
with warnings.catch_warnings():
warnings.simplefilter("ignore", ImportWarning)
import sklearn.linear_model as sklin
import sklearn.preprocessing as skpre
except ImportError:
warnings.warn(
"fitting mode 'RANSAC' requires the package sklearn, using"
+ " 'poly' instead",
RuntimeWarning)
fit = "poly"
if fit == "poly":
return np.polyfit(x, y, degree)
elif fit == "RANSAC":
model = sklin.RANSACRegressor(sklin.LinearRegression(fit_intercept=False))
xdat = np.asarray(x)
if len(xdat.shape) == 1:
# interpret 1d-array as list of len(x) samples instead of
# one sample of length len(x)
xdat = xdat.reshape(-1, 1)
polydat = skpre.PolynomialFeatures(degree).fit_transform(xdat)
try:
model.fit(polydat, y)
coef = model.estimator_.coef_[::-1]
except ValueError:
warnings.warn(
"RANSAC did not reach consensus, "
+ "using numpy's polyfit",
RuntimeWarning)
coef = np.polyfit(x, y, degree)
return coef
else:
raise ValueError("invalid fitting mode ({})".format(fit))
def delay_embedding(data, emb_dim, lag=1):
"""
Perform a time-delay embedding of a time series
Args:
data (array-like):
the data that should be embedded
emb_dim (int):
the embedding dimension
Kwargs:
lag (int):
the lag between elements in the embedded vectors
Returns:
emb_dim x m array:
matrix of embedded vectors of the form
[data[i], data[i+lag], data[i+2*lag], ... data[i+(emb_dim-1)*lag]]
for i in 0 to m-1 (m = len(data)-(emb_dim-1)*lag)
"""
data = np.asarray(data)
min_len = (emb_dim - 1) * lag + 1
if len(data) < min_len:
msg = "cannot embed data of length {} with embedding dimension {} " \
+ "and lag {}, minimum required length is {}"
raise ValueError(msg.format(len(data), emb_dim, lag, min_len))
m = len(data) - min_len + 1
indices = np.repeat([np.arange(emb_dim) * lag], m, axis=0)
indices += np.arange(m).reshape((m, 1))
return data[indices]
[docs]def lyap_r_len(**kwargs):
"""
Helper function that calculates the minimum number of data points required
to use lyap_r.
Note that none of the required parameters may be set to None.
Kwargs:
kwargs(dict):
arguments used for lyap_r (required: emb_dim, lag, trajectory_len and
min_tsep)
Returns:
minimum number of data points required to call lyap_r with the given
parameters
"""
# minimum length required to find single orbit vector
min_len = (kwargs['emb_dim'] - 1) * kwargs['lag'] + 1
# we need trajectory_len orbit vectors to follow a complete trajectory
min_len += kwargs['trajectory_len'] - 1
# we need min_tsep * 2 + 1 orbit vectors to find neighbors for each
min_len += kwargs['min_tsep'] * 2 + 1
return min_len
[docs]def lyap_r(data, emb_dim=10, lag=None, min_tsep=None, tau=1, min_neighbors=20,
trajectory_len=20, fit="RANSAC", debug_plot=False, debug_data=False,
plot_file=None, fit_offset=0):
"""
Estimates the largest Lyapunov exponent using the algorithm of Rosenstein
et al. [lr_1]_.
Explanation of Lyapunov exponents:
See lyap_e.
Explanation of the algorithm:
The algorithm of Rosenstein et al. is only able to recover the largest
Lyapunov exponent, but behaves rather robust to parameter choices.
The idea for the algorithm relates closely to the definition of Lyapunov
exponents. First, the dynamics of the data are reconstructed using a delay
embedding method with a lag, such that each value x_i of the data is mapped
to the vector
X_i = [x_i, x_(i+lag), x_(i+2*lag), ..., x_(i+(emb_dim-1) * lag)]
For each such vector X_i, we find the closest neighbor X_j using the
euclidean distance. We know that as we follow the trajectories from X_i and
X_j in time in a chaotic system the distances between X_(i+k) and X_(j+k)
denoted as d_i(k) will increase according to a power law
d_i(k) = c * e^(lambda * k) where lambda is a good approximation of the
highest Lyapunov exponent, because the exponential expansion along the axis
associated with this exponent will quickly dominate the expansion or
contraction along other axes.
To calculate lambda, we look at the logarithm of the distance trajectory,
because log(d_i(k)) = log(c) + lambda * k. This gives a set of lines
(one for each index i) whose slope is an approximation of lambda. We
therefore extract the mean log trajectory d'(k) by taking the mean of
log(d_i(k)) over all orbit vectors X_i. We then fit a straight line to
the plot of d'(k) versus k. The slope of the line gives the desired
parameter lambda.
Method for choosing min_tsep:
Usually we want to find neighbors between points that are close in phase
space but not too close in time, because we want to avoid spurious
correlations between the obtained trajectories that originate from temporal
dependencies rather than the dynamic properties of the system. Therefore it
is critical to find a good value for min_tsep. One rather plausible
estimate for this value is to set min_tsep to the mean period of the
signal, which can be obtained by calculating the mean frequency using the
fast fourier transform. This procedure is used by default if the user sets
min_tsep = None.
Method for choosing lag:
Another parameter that can be hard to choose by instinct alone is the lag
between individual values in a vector of the embedded orbit. Here,
Rosenstein et al. suggest to set the lag to the distance where the
autocorrelation function drops below 1 - 1/e times its original (maximal)
value. This procedure is used by default if the user sets lag = None.
References:
.. [lr_1] M. T. Rosenstein, J. J. Collins, and C. J. De Luca,
“A practical method for calculating largest Lyapunov exponents from
small data sets,” Physica D: Nonlinear Phenomena, vol. 65, no. 1,
pp. 117–134, 1993.
Reference Code:
.. [lr_a] mirwais, "Largest Lyapunov Exponent with Rosenstein's Algorithm",
url: http://www.mathworks.com/matlabcentral/fileexchange/38424-largest-lyapunov-exponent-with-rosenstein-s-algorithm
.. [lr_b] Shapour Mohammadi, "LYAPROSEN: MATLAB function to calculate
Lyapunov exponent",
url: https://ideas.repec.org/c/boc/bocode/t741502.html
Args:
data (iterable of float):
(one-dimensional) time series
Kwargs:
emb_dim (int):
embedding dimension for delay embedding
lag (float):
lag for delay embedding
min_tsep (float):
minimal temporal separation between two "neighbors" (default:
find a suitable value by calculating the mean period of the data)
tau (float):
step size between data points in the time series in seconds
(normalization scaling factor for exponents)
min_neighbors (int):
if lag=None, the search for a suitable lag will be stopped when the
number of potential neighbors for a vector drops below min_neighbors
trajectory_len (int):
the time (in number of data points) to follow the distance
trajectories between two neighboring points
fit (str):
the fitting method to use for the line fit, either 'poly' for normal
least squares polynomial fitting or 'RANSAC' for RANSAC-fitting which
is more robust to outliers
debug_plot (boolean):
if True, a simple plot of the final line-fitting step will
be shown
debug_data (boolean):
if True, debugging data will be returned alongside the result
plot_file (str):
if debug_plot is True and plot_file is not None, the plot will be saved
under the given file name instead of directly showing it through
``plt.show()``
fit_offset (int):
neglect the first fit_offset steps when fitting
Returns:
float:
an estimate of the largest Lyapunov exponent (a positive exponent is
a strong indicator for chaos)
(1d-vector, 1d-vector, list):
only present if debug_data is True: debug data of the form
``(ks, div_traj, poly)`` where ``ks`` are the x-values of the line fit,
``div_traj`` are the y-values and ``poly`` are the line coefficients
(``[slope, intercept]``).
"""
# convert data to float to avoid overflow errors in rowwise_euclidean
data = np.asarray(data, dtype="float32")
n = len(data)
max_tsep_factor = 0.25
if lag is None or min_tsep is None:
# both the algorithm for lag and min_tsep need the fft
f = np.fft.rfft(data, n * 2 - 1)
if min_tsep is None:
# calculate min_tsep as mean period (= 1 / mean frequency)
mf = np.fft.rfftfreq(n * 2 - 1) * np.abs(f)
mf = np.mean(mf[1:]) / np.sum(np.abs(f[1:]))
min_tsep = int(np.ceil(1.0 / mf))
if min_tsep > max_tsep_factor * n:
min_tsep = int(max_tsep_factor * n)
msg = "signal has very low mean frequency, setting min_tsep = {:d}"
warnings.warn(msg.format(min_tsep), RuntimeWarning)
if lag is None:
# calculate the lag as point where the autocorrelation drops to (1 - 1/e)
# times its maximum value
# note: the Wiener–Khinchin theorem states that the spectral
# decomposition of the autocorrelation function of a process is the power
# spectrum of that process
# => we can use fft to calculate the autocorrelation
acorr = np.fft.irfft(f * np.conj(f))
acorr = np.roll(acorr, n - 1)
eps = acorr[n - 1] * (1 - 1.0 / np.e)
lag = 1
# small helper function to calculate resulting number of vectors for a
# given lag value
def nb_neighbors(lag_value):
min_len = lyap_r_len(
emb_dim=emb_dim, lag=i, trajectory_len=trajectory_len,
min_tsep=min_tsep
)
return max(0, n - min_len)
# find lag
for i in range(1,n):
lag = i
if acorr[n - 1 + i] < eps or acorr[n - 1 - i] < eps:
break
if nb_neighbors(i) < min_neighbors:
msg = "autocorrelation declined too slowly to find suitable lag" \
+ ", setting lag to {}"
warnings.warn(msg.format(lag), RuntimeWarning)
break
min_len = lyap_r_len(
emb_dim=emb_dim, lag=lag, trajectory_len=trajectory_len,
min_tsep=min_tsep
)
if len(data) < min_len:
msg = "for emb_dim = {}, lag = {}, min_tsep = {} and trajectory_len = {}" \
+ " you need at least {} datapoints in your time series"
warnings.warn(
msg.format(emb_dim, lag, min_tsep, trajectory_len, min_len),
RuntimeWarning
)
# delay embedding
orbit = delay_embedding(data, emb_dim, lag)
m = len(orbit)
# construct matrix with pairwise distances between vectors in orbit
dists = np.array([rowwise_euclidean(orbit, orbit[i]) for i in range(m)])
# we do not want to consider vectors as neighbor that are less than min_tsep
# time steps together => mask the distances min_tsep to the right and left of
# each index by setting them to infinity (will never be considered as nearest
# neighbors)
for i in range(m):
dists[i, max(0, i - min_tsep):i + min_tsep + 1] = float("inf")
# check that we have enough data points to continue
ntraj = m - trajectory_len + 1
min_traj = min_tsep * 2 + 2 # in each row min_tsep + 1 disances are inf
if ntraj <= 0:
msg = "Not enough data points. Need {} additional data points to follow " \
+ "a complete trajectory."
raise ValueError(msg.format(-ntraj+1))
if ntraj < min_traj:
# not enough data points => there are rows where all values are inf
assert np.any(np.all(np.isinf(dists[:ntraj, :ntraj]), axis=1))
msg = "Not enough data points. At least {} trajectories are required " \
+ "to find a valid neighbor for each orbit vector with min_tsep={} " \
+ "but only {} could be created."
raise ValueError(msg.format(min_traj, min_tsep, ntraj))
assert np.all(np.any(np.isfinite(dists[:ntraj, :ntraj]), axis=1))
# find nearest neighbors (exclude last columns, because these vectors cannot
# be followed in time for trajectory_len steps)
nb_idx = np.argmin(dists[:ntraj, :ntraj], axis=1)
# build divergence trajectory by averaging distances along the trajectory
# over all neighbor pairs
div_traj = np.zeros(trajectory_len, dtype=float)
for k in range(trajectory_len):
# calculate mean trajectory distance at step k
indices = (np.arange(ntraj) + k, nb_idx + k)
div_traj_k = dists[indices]
# filter entries where distance is zero (would lead to -inf after log)
nonzero = np.where(div_traj_k != 0)
if len(nonzero[0]) == 0:
# if all entries where zero, we have to use -inf
div_traj[k] = -np.inf
else:
div_traj[k] = np.mean(np.log(div_traj_k[nonzero]))
# filter -inf entries from mean trajectory
ks = np.arange(trajectory_len)
finite = np.where(np.isfinite(div_traj))
ks = ks[finite]
div_traj = div_traj[finite]
if len(ks) < 1:
# if all points or all but one point in the trajectory is -inf, we cannot
# fit a line through the remaining points => return -inf as exponent
poly = [-np.inf, 0]
else:
# normal line fitting
poly = poly_fit(ks[fit_offset:], div_traj[fit_offset:], 1, fit=fit)
if debug_plot:
plot_reg(ks[fit_offset:], div_traj[fit_offset:], poly, "k", "log(d(k))", fname=plot_file)
le = poly[0] / tau
if debug_data:
return (le, (ks, div_traj, poly))
else:
return le
[docs]def lyap_e_len(**kwargs):
"""
Helper function that calculates the minimum number of data points required
to use lyap_e.
Note that none of the required parameters may be set to None.
Kwargs:
kwargs(dict):
arguments used for lyap_e (required: emb_dim, matrix_dim, min_nb
and min_tsep)
Returns:
minimum number of data points required to call lyap_e with the given
parameters
"""
m = (kwargs['emb_dim'] - 1) // (kwargs['matrix_dim'] - 1)
# minimum length required to find single orbit vector
min_len = kwargs['emb_dim']
# we need to follow each starting point of an orbit vector for m more steps
min_len += m
# we need min_tsep * 2 + 1 orbit vectors to find neighbors for each
min_len += kwargs['min_tsep'] * 2
# we need at least min_nb neighbors for each orbit vector
min_len += kwargs['min_nb']
return min_len
[docs]def lyap_e(data, emb_dim=10, matrix_dim=4, min_nb=None, min_tsep=0, tau=1,
debug_plot=False, debug_data=False, plot_file=None):
"""
Estimates the Lyapunov exponents for the given data using the algorithm of
Eckmann et al. [le_1]_.
Recommendations for parameter settings by Eckmann et al.:
* long recording time improves accuracy, small tau does not
* use large values for emb_dim
* matrix_dim should be 'somewhat larger than the expected number of
positive Lyapunov exponents'
* min_nb = min(2 * matrix_dim, matrix_dim + 4)
Explanation of Lyapunov exponents:
The Lyapunov exponent describes the rate of separation of two
infinitesimally close trajectories of a dynamical system in phase space.
In a chaotic system, these trajectories diverge exponentially following
the equation:
\|X(t, X_0) - X(t, X_0 + eps)| = e^(lambda * t) * \|eps|
In this equation X(t, X_0) is the trajectory of the system X starting at
the point X_0 in phase space at time t. eps is the (infinitesimal)
difference vector and lambda is called the Lyapunov exponent. If the
system has more than one free variable, the phase space is
multidimensional and each dimension has its own Lyapunov exponent. The
existence of at least one positive Lyapunov exponent is generally seen as
a strong indicator for chaos.
Explanation of the Algorithm:
To calculate the Lyapunov exponents analytically, the Jacobian of the
system is required. The algorithm of Eckmann et al. therefore tries to
estimate this Jacobian by reconstructing the dynamics of the system from
which the time series was obtained. For this, several steps are required:
* Embed the time series [x_1, x_2, ..., x_(N-1)] in an orbit of emb_dim
dimensions (map each point x_i of the time series to a vector
[x_i, x_(i+1), x_(i+2), ... x_(i+emb_dim-1)]).
* For each vector X_i in this orbit find a radius r_i so that at least
min_nb other vectors lie within (chebyshev-)distance r_i around X_i.
These vectors will be called "neighbors" of X_i.
* Find the Matrix T_i that sends points from the neighborhood of X_i to
the neighborhood of X_(i+1). To avoid undetermined values in T_i, we
construct T_i not with size (emb_dim x emb_dim) but with size
(matrix_dim x matrix_dim), so that we have a larger "step size" m in the
X_i, which are now defined as X'_i = [x_i, x_(i+m), x_(i+2m),
... x_(i+(matrix_dim-1)*m)]. This means that emb_dim-1 must be divisible
by matrix_dim-1. The T_i are then found by a linear least squares fit,
assuring that T_i (X_j - X_i) ~= X_(j+m) - X_(i+m) for any X_j in the
neighborhood of X_i.
* Starting with i = 1 and Q_0 = identity successively decompose the matrix
T_i * Q_(i-1) into the matrices Q_i and R_i by a QR-decomposition.
* Calculate the Lyapunov exponents from the mean of the logarithm of the
diagonal elements of the matrices R_i. To normalize the Lyapunov
exponents, they have to be divided by m and by the step size tau of the
original time series.
References:
.. [le_1] J. P. Eckmann, S. O. Kamphorst, D. Ruelle, and S. Ciliberto,
“Liapunov exponents from time series,” Physical Review A,
vol. 34, no. 6, pp. 4971–4979, 1986.
Reference code:
.. [le_a] Manfred Füllsack, "Lyapunov exponent",
url: http://systems-sciences.uni-graz.at/etextbook/sw2/lyapunov.html
.. [le_b] Steve SIU, Lyapunov Exponents Toolbox (LET),
url: http://www.mathworks.com/matlabcentral/fileexchange/233-let/content/LET/findlyap.m
.. [le_c] Rainer Hegger, Holger Kantz, and Thomas Schreiber, TISEAN,
url: http://www.mpipks-dresden.mpg.de/~tisean/Tisean_3.0.1/index.html
Args:
data (array-like of float):
(scalar) data points
Kwargs:
emb_dim (int):
embedding dimension
matrix_dim (int):
matrix dimension (emb_dim - 1 must be divisible by matrix_dim - 1)
min_nb (int):
minimal number of neighbors
(default: min(2 * matrix_dim, matrix_dim + 4))
min_tsep (int):
minimal temporal separation between two "neighbors"
tau (float):
step size of the data in seconds
(normalization scaling factor for exponents)
debug_plot (boolean):
if True, a histogram matrix of the individual estimates will be shown
debug_data (boolean):
if True, debugging data will be returned alongside the result
plot_file (str):
if debug_plot is True and plot_file is not None, the plot will be saved
under the given file name instead of directly showing it through
``plt.show()``
Returns:
float array:
array of matrix_dim Lyapunov exponents (positive exponents are indicators
for chaos)
2d-array of floats:
only present if debug_data is True: all estimates for the matrix_dim
Lyapunov exponents from the x iterations of R_i. The shape of this debug
data is (x, matrix_dim).
"""
data = np.asarray(data)
n = len(data)
if (emb_dim - 1) % (matrix_dim - 1) != 0:
raise ValueError("emb_dim - 1 must be divisible by matrix_dim - 1!")
m = (emb_dim - 1) // (matrix_dim - 1)
if min_nb is None:
# minimal number of neighbors as suggested by Eckmann et al.
min_nb = min(2 * matrix_dim, matrix_dim + 4)
min_len = lyap_e_len(
emb_dim=emb_dim, matrix_dim=matrix_dim, min_nb=min_nb, min_tsep=min_tsep
)
if n < min_len:
msg = "{} data points are not enough! For emb_dim = {}, matrix_dim = {}, " \
+ "min_tsep = {} and min_nb = {} you need at least {} data points " \
+ "in your time series"
warnings.warn(
msg.format(n, emb_dim, matrix_dim, min_tsep, min_nb, min_len),
RuntimeWarning
)
# construct orbit as matrix (e = emb_dim)
# x0 x1 x2 ... xe-1
# x1 x2 x3 ... xe
# x2 x3 x4 ... xe+1
# ...
# note: we need to be able to step m points further for the beta vector
# => maximum start index is n - emb_dim - m
orbit = delay_embedding(data[:-m], emb_dim, lag=1)
if len(orbit) < min_nb:
assert len(data) < min_len
msg = "Not enough data points. Need at least {} additional data points " \
+ "to have min_nb = {} neighbor candidates"
raise ValueError(msg.format(min_nb-len(orbit), min_nb))
old_Q = np.identity(matrix_dim)
lexp = np.zeros(matrix_dim, dtype="float32")
lexp_counts = np.zeros(lexp.shape)
debug_values = []
# TODO reduce number of points to visit?
# TODO performance test!
for i in range(len(orbit)):
# find neighbors for each vector in the orbit using the chebyshev distance
diffs = rowwise_chebyshev(orbit, orbit[i])
# ensure that we do not count the difference of the vector to itself
diffs[i] = float('inf')
# mask all neighbors that are too close in time to the vector itself
mask_from = max(0, i - min_tsep)
mask_to = min(len(diffs), i + min_tsep + 1)
diffs[mask_from:mask_to] = np.inf
indices = np.argsort(diffs)
idx = indices[min_nb - 1] # index of the min_nb-nearest neighbor
r = diffs[idx] # corresponding distance
if np.isinf(r):
assert len(data) < min_len
msg = "Not enough data points. Orbit vector {} has less than min_nb = " \
+ "{} valid neighbors that are at least min_tsep = {} time steps " \
+ "away. Input must have at least length {}."
raise ValueError(msg.format(i, min_nb, min_tsep, min_len))
# there may be more than min_nb vectors at distance r (if multiple vectors
# have a distance of exactly r)
# => update index accordingly
indices = np.where(diffs <= r)[0]
# find the matrix T_i that satisifies
# T_i (orbit'[j] - orbit'[i]) = (orbit'[j+m] - orbit'[i+m])
# for all neighbors j where orbit'[i] = [x[i], x[i+m],
# ... x[i + (matrix_dim-1)*m]]
# note that T_i has the following form:
# 0 1 0 ... 0
# 0 0 1 ... 0
# ...
# a0 a1 a2 ... a(matrix_dim-1)
# This is because for all rows except the last one the aforementioned
# equation has a clear solution since orbit'[j+m] - orbit'[i+m] =
# [x[j+m]-x[i+m], x[j+2*m]-x[i+2*m], ... x[j+d_M*m]-x[i+d_M*m]]
# and
# orbit'[j] - orbit'[i] =
# [x[j]-x[i], x[j+m]-x[i+m], ... x[j+(d_M-1)*m]-x[i+(d_M-1)*m]]
# therefore x[j+k*m] - x[i+k*m] is already contained in
# orbit'[j] - orbit'[x] for all k from 1 to matrix_dim-1. Only for
# k = matrix_dim there is an actual problem to solve.
# We can therefore find a = [a0, a1, a2, ... a(matrix_dim-1)] by
# formulating a linear least squares problem (mat_X * a = vec_beta)
# as follows.
# build matrix X for linear least squares (d_M = matrix_dim)
# x_j1 - x_i x_j1+m - x_i+m ... x_j1+(d_M-1)m - x_i+(d_M-1)m
# x_j2 - x_i x_j2+m - x_i+m ... x_j2+(d_M-1)m - x_i+(d_M-1)m
# ...
# note: emb_dim = (d_M - 1) * m + 1
mat_X = np.array([data[j:j + emb_dim:m] for j in indices])
mat_X -= data[i:i + emb_dim:m]
# build vector beta for linear least squares
# x_j1+(d_M)m - x_i+(d_M)m
# x_j2+(d_M)m - x_i+(d_M)m
# ...
if max(np.max(indices),i) + matrix_dim * m >= len(data):
assert len(data) < min_len
msg = "Not enough data points. Cannot follow orbit vector {} for " \
+ "{} (matrix_dim * m) time steps. Input must have at least length " \
+ "{}."
raise ValueError(msg.format(i, matrix_dim * m, min_len))
vec_beta = data[indices + matrix_dim * m] - data[i + matrix_dim * m]
# perform linear least squares
a, _, _, _ = np.linalg.lstsq(mat_X, vec_beta, rcond=-1)
# build matrix T
# 0 1 0 ... 0
# 0 0 1 ... 0
# ...
# 0 0 0 ... 1
# a1 a2 a3 ... a_(d_M)
mat_T = np.zeros((matrix_dim, matrix_dim))
mat_T[:-1, 1:] = np.identity(matrix_dim - 1)
mat_T[-1] = a
# QR-decomposition of T * old_Q
mat_Q, mat_R = np.linalg.qr(np.dot(mat_T, old_Q))
# force diagonal of R to be positive
# (if QR = A then also QLL'R = A with L' = L^-1)
sign_diag = np.sign(np.diag(mat_R))
sign_diag[np.where(sign_diag == 0)] = 1
sign_diag = np.diag(sign_diag)
mat_Q = np.dot(mat_Q, sign_diag)
mat_R = np.dot(sign_diag, mat_R)
old_Q = mat_Q
# successively build sum for Lyapunov exponents
diag_R = np.diag(mat_R)
# filter zeros in mat_R (would lead to -infs)
idx = np.where(diag_R > 0)
lexp_i = np.zeros(diag_R.shape, dtype="float32")
lexp_i[idx] = np.log(diag_R[idx])
lexp_i[np.where(diag_R == 0)] = np.inf
if debug_plot or debug_data:
debug_values.append(lexp_i / tau / m)
lexp[idx] += lexp_i[idx]
lexp_counts[idx] += 1
# end of loop over orbit vectors
# it may happen that all R-matrices contained zeros => exponent really has
# to be -inf
if debug_plot:
plot_histogram_matrix(np.array(debug_values), "layp_e", fname=plot_file)
# normalize exponents over number of individual mat_Rs
idx = np.where(lexp_counts > 0)
lexp[idx] /= lexp_counts[idx]
lexp[np.where(lexp_counts == 0)] = np.inf
# normalize with respect to tau
lexp /= tau
# take m into account
lexp /= m
if debug_data:
return (lexp, np.array(debug_values))
return lexp
def plot_dists(dists, tolerance, m, title=None, fname=None):
# local import to avoid dependency for non-debug use
import matplotlib.pyplot as plt
nstd = 3
nbins = 50
dists_full = np.concatenate(dists)
ymax = len(dists_full) * 0.05
mean = np.mean(dists_full)
std = np.std(dists_full)
rng = (0, mean + std * nstd)
i = 0
colors = ["green", "blue"]
for h, bins in [np.histogram(dat, nbins, rng) for dat in dists]:
bw = bins[1] - bins[0]
plt.bar(bins[:-1], h, bw, label="m={:d}".format(m + i),
color=colors[i], alpha=0.5)
i += 1
plt.axvline(tolerance, color="red")
plt.legend(loc="best")
plt.xlabel("distance")
plt.ylabel("count")
plt.ylim(0, ymax)
if title is not None:
plt.title(title)
if fname is None:
plt.show()
else:
plt.savefig(fname)
plt.close()
[docs]def sampen(data, emb_dim=2, tolerance=None, dist=rowwise_chebyshev,
debug_plot=False, debug_data=False, plot_file=None):
"""
Computes the sample entropy of the given data.
Explanation of the sample entropy:
The sample entropy of a time series is defined as the negative natural
logarithm of the conditional probability that two sequences similar for
emb_dim points remain similar at the next point, excluding self-matches.
A lower value for the sample entropy therefore corresponds to a higher
probability indicating more self-similarity.
Explanation of the algorithm:
The algorithm constructs all subsequences of length emb_dim
[s_1, s_2, s_3, ...] and then counts each pair (s_i, s_j) with i != j
where dist(s_i, s_j) < tolerance. The same process is repeated for all
subsequences of length emb_dim + 1. The sum of similar sequence pairs
with length emb_dim + 1 is divided by the sum of similar sequence pairs
with length emb_dim. The result of the algorithm is the negative logarithm
of this ratio/probability.
References:
.. [se_1] J. S. Richman and J. R. Moorman, “Physiological time-series
analysis using approximate entropy and sample entropy,”
American Journal of Physiology-Heart and Circulatory Physiology,
vol. 278, no. 6, pp. H2039–H2049, 2000.
Reference code:
.. [se_a] "sample_entropy" function in R-package "pracma",
url: https://cran.r-project.org/web/packages/pracma/pracma.pdf
Args:
data (array-like of float):
input data
Kwargs:
emb_dim (int):
the embedding dimension (length of vectors to compare)
tolerance (float):
distance threshold for two template vectors to be considered equal
(default: 0.2 * std(data))
dist (function (2d-array, 1d-array) -> 1d-array):
distance function used to calculate the distance between template
vectors. Sampen is defined using ``rowwise_chebyshev``. You should only use
something else, if you are sure that you need it.
debug_plot (boolean):
if True, a histogram of the individual distances for m and m+1
debug_data (boolean):
if True, debugging data will be returned alongside the result
plot_file (str):
if debug_plot is True and plot_file is not None, the plot will be saved
under the given file name instead of directly showing it through
``plt.show()``
Returns:
float:
the sample entropy of the data (negative logarithm of ratio between
similar template vectors of length emb_dim + 1 and emb_dim)
[float list, float list]:
Lists of lists of the form ``[dists_m, dists_m1]`` containing the distances
between template vectors for m (dists_m) and for m + 1 (dists_m1).
"""
data = np.asarray(data)
if tolerance is None:
tolerance = 0.2 * np.std(data)
n = len(data)
# build matrix of "template vectors"
# (all consecutive subsequences of length m)
# x0 x1 x2 x3 ... xm-1
# x1 x2 x3 x4 ... xm
# x2 x3 x4 x5 ... xm+1
# ...
# x_n-m-1 ... xn-1
# since we need two of these matrices for m = emb_dim and m = emb_dim +1,
# we build one that is large enough => shape (emb_dim+1, n-emb_dim)
# note that we ignore the last possible template vector with length emb_dim,
# because this vector has no corresponding vector of length m+1 and thus does
# not count towards the conditional probability
# (otherwise first dimension would be n-emb_dim+1 and not n-emb_dim)
tVecs = delay_embedding(np.asarray(data), emb_dim+1, lag=1)
plot_data = []
counts = []
for m in [emb_dim, emb_dim + 1]:
counts.append(0)
plot_data.append([])
# get the matrix that we need for the current m
tVecsM = tVecs[:n - m + 1, :m]
# successively calculate distances between each pair of template vectors
for i in range(len(tVecsM) - 1):
dsts = dist(tVecsM[i + 1:], tVecsM[i])
if debug_plot:
plot_data[-1].extend(dsts)
# count how many distances are smaller than the tolerance
counts[-1] += np.sum(dsts < tolerance)
if counts[1] == 0:
# log would be infinite => cannot determine saen
saen = np.inf
else:
saen = -np.log(1.0 * counts[1] / counts[0])
if debug_plot:
plot_dists(plot_data, tolerance, m, title="sampEn = {:.3f}".format(saen),
fname=plot_file)
if debug_data:
return (saen, plot_data)
else:
return saen
[docs]def binary_n(total_N, min_n=50):
"""
Creates a list of values by successively halving the total length total_N
until the resulting value is less than min_n.
Non-integer results are rounded down.
Args:
total_N (int):
total length
Kwargs:
min_n (int):
minimal length after division
Returns:
list of integers:
total_N/2, total_N/4, total_N/8, ... until total_N/2^i < min_n
"""
max_exp = np.log2(1.0 * total_N / min_n)
max_exp = int(np.floor(max_exp))
return [int(np.floor(1.0 * total_N / (2**i))) for i in range(1, max_exp + 1)]
[docs]def logarithmic_n(min_n, max_n, factor):
"""
Creates a list of values by successively multiplying a minimum value min_n by
a factor > 1 until a maximum value max_n is reached.
Non-integer results are rounded down.
Args:
min_n (float):
minimum value (must be < max_n)
max_n (float):
maximum value (must be > min_n)
factor (float):
factor used to increase min_n (must be > 1)
Returns:
list of integers:
min_n, min_n * factor, min_n * factor^2, ... min_n * factor^i < max_n
without duplicates
"""
assert max_n > min_n
assert factor > 1
# stop condition: min * f^x = max
# => f^x = max/min
# => x = log(max/min) / log(f)
max_i = int(np.floor(np.log(1.0 * max_n / min_n) / np.log(factor)))
ns = [min_n]
for i in range(max_i + 1):
n = int(np.floor(min_n * (factor ** i)))
if n > ns[-1]:
ns.append(n)
return ns
[docs]def logmid_n(max_n, ratio=1/4.0, nsteps=15):
"""
Creates an array of integers that lie evenly spaced in the "middle" of the
logarithmic scale from 0 to log(max_n).
If max_n is very small and/or nsteps is very large, this may lead to
duplicate values which will be removed from the output.
This function has benefits in hurst_rs, because it cuts away both very small
and very large n, which both can cause problems, and still produces a
logarithmically spaced sequence.
Args:
max_n (int):
largest possible output value (should be the sequence length when used in
hurst_rs)
Kwargs:
ratio (float):
width of the "middle" of the logarithmic interval relative to log(max_n).
For example, for ratio=1/2.0 the logarithm of the resulting values will
lie between 0.25 * log(max_n) and 0.75 * log(max_n).
nsteps (float):
(maximum) number of values to take from the specified range
Returns:
array of int:
a logarithmically spaced sequence of at most nsteps values (may be less,
because only unique values are returned)
"""
l = np.log(max_n)
span = l * ratio
start = l * (1 - ratio) * 0.5
midrange = start + 1.0*np.arange(nsteps)/nsteps*span
nvals = np.round(np.exp(midrange)).astype("int32")
return np.unique(nvals)
[docs]def logarithmic_r(min_n, max_n, factor):
"""
Creates a list of values by successively multiplying a minimum value min_n by
a factor > 1 until a maximum value max_n is reached.
Args:
min_n (float):
minimum value (must be < max_n)
max_n (float):
maximum value (must be > min_n)
factor (float):
factor used to increase min_n (must be > 1)
Returns:
list of floats:
min_n, min_n * factor, min_n * factor^2, ... min_n * factor^i < max_n
"""
assert max_n > min_n
assert factor > 1
max_i = int(np.floor(np.log(1.0 * max_n / min_n) / np.log(factor)))
return [min_n * (factor ** i) for i in range(max_i + 1)]
[docs]def expected_rs(n):
"""
Calculates the expected (R/S)_n for white noise for a given n.
This is used as a correction factor in the function hurst_rs. It uses the
formula of Anis-Lloyd-Peters (see [h_3]_).
Args:
n (int):
the value of n for which the expected (R/S)_n should be calculated
Returns:
float:
expected (R/S)_n for white noise
"""
front = (n - 0.5) / n
i = np.arange(1,n)
back = np.sum(np.sqrt((n - i) / i))
if n <= 340:
middle = math.gamma((n-1) * 0.5) / math.sqrt(math.pi) / math.gamma(n * 0.5)
else:
middle = 1.0 / math.sqrt(n * math.pi * 0.5)
return front * middle * back
[docs]def expected_h(nvals, fit="RANSAC"):
"""
Uses expected_rs to calculate the expected value for the Hurst exponent h
based on the values of n used for the calculation.
Args:
nvals (iterable of int):
the values of n used to calculate the individual (R/S)_n
KWargs:
fit (str):
the fitting method to use for the line fit, either 'poly' for normal
least squares polynomial fitting or 'RANSAC' for RANSAC-fitting which
is more robust to outliers
Returns:
float:
expected h for white noise
"""
rsvals = [expected_rs(n) for n in nvals]
poly = poly_fit(np.log(nvals), np.log(rsvals), 1, fit=fit)
return poly[0]
def rs(data, n, unbiased=True):
"""
Calculates an individual R/S value in the rescaled range approach for
a given n.
Note: This is just a helper function for hurst_rs and should not be called
directly.
Args:
data (array-like of float):
time series
n (float):
size of the subseries in which data should be split
Kwargs:
unbiased (boolean):
if True, the standard deviation based on the unbiased variance
(1/(N-1) instead of 1/N) will be used. This should be the default choice,
since the true mean of the sequences is not known. This parameter should
only be changed to recreate results of other implementations.
Returns:
float:
(R/S)_n
"""
data = np.asarray(data)
total_N = len(data)
m = total_N // n # number of sequences
# cut values at the end of data to make the array divisible by n
data = data[:total_N - (total_N % n)]
# split remaining data into subsequences of length n
seqs = np.reshape(data, (m, n))
# calculate means of subsequences
means = np.mean(seqs, axis=1)
# normalize subsequences by substracting mean
y = seqs - means.reshape((m, 1))
# build cumulative sum of subsequences
y = np.cumsum(y, axis=1)
# find ranges
r = np.max(y, axis=1) - np.min(y, axis=1)
# find standard deviation
# we should use the unbiased estimator, since we do not know the true mean
s = np.std(seqs, axis=1, ddof=1 if unbiased else 0)
# some ranges may be zero and have to be excluded from the analysis
idx = np.where(r != 0)
r = r[idx]
s = s[idx]
# it may happen that all ranges are zero (if all values in data are equal)
if len(r) == 0:
return np.nan
else:
# return mean of r/s along subsequence index
return np.mean(r / s)
def plot_histogram_matrix(data, name, fname=None):
# local import to avoid dependency for non-debug use
import matplotlib.pyplot as plt
nhists = len(data[0])
nbins = 25
ylim = (0, 0.5)
nrows = int(np.ceil(np.sqrt(nhists)))
plt.figure(figsize=(nrows * 4, nrows * 4))
for i in range(nhists):
plt.subplot(nrows, nrows, i + 1)
absmax = max(abs(np.max(data[:, i])), abs(np.min(data[:, i])))
rng = (-absmax, absmax)
h, bins = np.histogram(data[:, i], nbins, rng)
bin_width = bins[1] - bins[0]
h = h.astype("float32") / np.sum(h)
plt.bar(bins[:-1], h, bin_width)
plt.axvline(np.mean(data[:, i]), color="red")
plt.ylim(ylim)
plt.title("{:s}[{:d}]".format(name, i))
if fname is None:
plt.show()
else:
plt.savefig(fname)
plt.close()
def plot_reg(xvals, yvals, poly, x_label="x", y_label="y", data_label="data",
reg_label="regression line", fname=None):
"""
Helper function to plot trend lines for line-fitting approaches. This
function will show a plot through ``plt.show()`` and close it after the window
has been closed by the user.
Args:
xvals (list/array of float):
list of x-values
yvals (list/array of float):
list of y-values
poly (list/array of float):
polynomial parameters as accepted by ``np.polyval``
Kwargs:
x_label (str):
label of the x-axis
y_label (str):
label of the y-axis
data_label (str):
label of the data
reg_label(str):
label of the regression line
fname (str):
file name (if not None, the plot will be saved to disc instead of
showing it though ``plt.show()``)
"""
# local import to avoid dependency for non-debug use
import matplotlib.pyplot as plt
plt.plot(xvals, yvals, "bo", label=data_label)
if not (poly is None):
plt.plot(xvals, np.polyval(poly, xvals), "r-", label=reg_label)
plt.xlabel(x_label)
plt.ylabel(y_label)
plt.legend(loc="best")
if fname is None:
plt.show()
else:
plt.savefig(fname)
plt.close()
[docs]def hurst_rs(data, nvals=None, fit="RANSAC", debug_plot=False,
debug_data=False, plot_file=None, corrected=True, unbiased=True):
"""
Calculates the Hurst exponent by a standard rescaled range (R/S) approach.
Explanation of Hurst exponent:
The Hurst exponent is a measure for the "long-term memory" of a
time series, meaning the long statistical dependencies in the data that do
not originate from cycles.
It originates from H.E. Hursts observations of the problem of long-term
storage in water reservoirs. If x_i is the discharge of a river in year i
and we observe this discharge for N years, we can calculate the storage
capacity that would be required to keep the discharge steady at its mean
value.
To do so, we first substract the mean over all x_i from the individual
x_i to obtain the departures x'_i from the mean for each year i. As the
excess or deficit in discharge always carrys over from year i to year i+1,
we need to examine the cumulative sum of x'_i, denoted by y_i. This
cumulative sum represents the filling of our hypothetical storage. If the
sum is above 0, we are storing excess discharge from the river, if it is
below zero we have compensated a deficit in discharge by releasing
water from the storage. The range (maximum - minimum) R of y_i therefore
represents the total capacity required for the storage.
Hurst showed that this value follows a steady trend for varying N if it
is normalized by the standard deviation sigma over the x_i. Namely he
obtained the following formula:
R/sigma = (N/2)^K
In this equation, K is called the Hurst exponent. Its value is 0.5 for
white noise, but becomes greater for time series that exhibit some positive
dependency on previous values. For negative dependencies it becomes less
than 0.5.
Explanation of the algorithm:
The rescaled range (R/S) approach is directly derived from Hurst's
definition. The time series of length N is split into non-overlapping
subseries of length n. Then, R and S (S = sigma) are calculated for each
subseries and the mean is taken over all subseries yielding (R/S)_n. This
process is repeated for several lengths n. Finally, the exponent K is
obtained by fitting a straight line to the plot of log((R/S)_n) vs log(n).
There seems to be no consensus how to chose the subseries lenghts n.
This function therefore leaves the choice to the user. The module provides
some utility functions for "typical" values:
* binary_n: N/2, N/4, N/8, ...
* logarithmic_n: min_n, min_n * f, min_n * f^2, ...
References:
.. [h_1] H. E. Hurst, “The problem of long-term storage in reservoirs,”
International Association of Scientific Hydrology. Bulletin, vol. 1,
no. 3, pp. 13–27, 1956.
.. [h_2] H. E. Hurst, “A suggested statistical model of some time series
which occur in nature,” Nature, vol. 180, p. 494, 1957.
.. [h_3] R. Weron, “Estimating long-range dependence: finite sample
properties and confidence intervals,” Physica A: Statistical Mechanics
and its Applications, vol. 312, no. 1, pp. 285–299, 2002.
Reference Code:
.. [h_a] "hurst" function in R-package "pracma",
url: https://cran.r-project.org/web/packages/pracma/pracma.pdf
Note: Pracma yields several estimates of the Hurst exponent, which
are listed below. Unless otherwise stated they use the divisors
of the length of the sequence as n. The length is reduced by at
most 1% to find the value that has the most divisors.
* The "Simple R/S" estimate is just log((R/S)_n) / log(n) for
n = N.
* The "theoretical Hurst exponent" is the value that would be
expected of an uncorrected rescaled range approach for random
noise of the size of the input data.
* The "empirical Hurst exponent" is the uncorrected Hurst exponent
obtained by the rescaled range approach.
* The "corrected empirical Hurst exponent" is the Anis-Lloyd-Peters
corrected Hurst exponent, but with sqrt(1/2 * pi * n) added to
the (R/S)_n before the log.
* The "corrected R over S Hurst exponent" uses the R-function "lm"
instead of pracmas own "polyfit" and uses n = N/2, N/4, N/8, ...
by successively halving the subsequences (which means that some
subsequences may be one element longer than others). In contrast
to its name it does not use the Anis-Lloyd-Peters correction
factor.
If you want to compare the output of pracma to the output of
nolds, the "empirical hurst exponent" is the only measure that
exactly corresponds to the Hurst measure implemented in nolds
(by choosing corrected=False, fit="poly" and employing the same
strategy for choosing n as the divisors of the (reduced)
sequence length).
.. [h_b] Rafael Weron, "HURST: MATLAB function to compute the Hurst
exponent using R/S Analysis",
url: https://ideas.repec.org/c/wuu/hscode/m11003.html
Note: When the same values for nvals are used and fit is set to
"poly", nolds yields exactly the same results as this
implementation.
.. [h_c] Bill Davidson, "Hurst exponent",
url: http://www.mathworks.com/matlabcentral/fileexchange/9842-hurst-exponent
.. [h_d] Tomaso Aste, "Generalized Hurst exponent",
url: http://de.mathworks.com/matlabcentral/fileexchange/30076-generalized-hurst-exponent
Args:
data (array-like of float):
time series
Kwargs:
nvals (iterable of int):
sizes of subseries to use
(default: logmid_n(total_N, ratio=1/4.0, nsteps=15) , that is 15
logarithmically spaced values in the medium 25% of the logarithmic range)
Generally, the choice for n is a trade-off between the length and the
number of the subsequences that are used for the calculation of the
(R/S)_n. Very low values of n lead to high variance in the ``r`` and ``s``
while very high values may leave too few subsequences that the mean along
them is still meaningful. Logarithmic spacing makes sense, because it
translates to even spacing in the log-log-plot.
fit (str):
the fitting method to use for the line fit, either 'poly' for normal
least squares polynomial fitting or 'RANSAC' for RANSAC-fitting which
is more robust to outliers
debug_plot (boolean):
if True, a simple plot of the final line-fitting step will be shown
debug_data (boolean):
if True, debugging data will be returned alongside the result
plot_file (str):
if debug_plot is True and plot_file is not None, the plot will be saved
under the given file name instead of directly showing it through
``plt.show()``
corrected (boolean):
if True, the Anis-Lloyd-Peters correction factor will be applied to the
output according to the expected value for the individual (R/S)_n
(see [h_3]_)
unbiased (boolean):
if True, the standard deviation based on the unbiased variance
(1/(N-1) instead of 1/N) will be used. This should be the default choice,
since the true mean of the sequences is not known. This parameter should
only be changed to recreate results of other implementations.
Returns:
float:
estimated Hurst exponent K using a rescaled range approach (if K = 0.5
there are no long-range correlations in the data, if K < 0.5 there are
negative long-range correlations, if K > 0.5 there are positive
long-range correlations)
(1d-vector, 1d-vector, list):
only present if debug_data is True: debug data of the form
``(nvals, rsvals, poly)`` where ``nvals`` are the values used for log(n),
``rsvals`` are the corresponding log((R/S)_n) and ``poly`` are the line
coefficients (``[slope, intercept]``)
"""
data = np.asarray(data)
total_N = len(data)
if nvals is None:
# chooses a default value for nvals that will give 15 logarithmically
# spaced datapoints leaning towards the middle of the logarithmic range
# (since both too small and too large n introduce too much variance)
nvals = logmid_n(total_N, ratio=1/4.0, nsteps=15)
# get individual values for (R/S)_n
rsvals = np.array([rs(data, n, unbiased=unbiased) for n in nvals])
# filter NaNs (zeros should not be possible, because if R is 0 then
# S is also zero)
not_nan = np.logical_not(np.isnan(rsvals))
rsvals = rsvals[not_nan]
nvals = np.asarray(nvals)[not_nan]
# it may happen that no rsvals are left (if all values of data are the same)
if len(rsvals) == 0:
poly = [np.nan, np.nan]
if debug_plot:
warnings.warn("Cannot display debug plot, all (R/S)_n are NaN")
else:
# fit a line to the logarithm of the obtained (R/S)_n
xvals = np.log(nvals)
yvals = np.log(rsvals)
if corrected:
yvals -= np.log([expected_rs(n) for n in nvals])
poly = poly_fit(xvals, yvals, 1, fit=fit)
if debug_plot:
plot_reg(xvals, yvals, poly, "log(n)", "log((R/S)_n)",
fname=plot_file)
# account for correction if necessary
h = poly[0] + 0.5 if corrected else poly[0]
# return line slope (+ correction) as hurst exponent
if debug_data:
return (h, (np.log(nvals), np.log(rsvals), poly))
else:
return h
# TODO implement generalized hurst exponent H_q
[docs]def corr_dim(data, emb_dim, rvals=None, dist=rowwise_euclidean,
fit="RANSAC", debug_plot=False, debug_data=False, plot_file=None):
"""
Calculates the correlation dimension with the Grassberger-Procaccia algorithm
Explanation of correlation dimension:
The correlation dimension is a characteristic measure that can be used
to describe the geometry of chaotic attractors. It is defined using the
correlation sum C(r) which is the fraction of pairs of points X_i in the
phase space whose distance is smaller than r.
If the relation between C(r) and r can be described by the power law
C(r) ~ r^D
then D is called the correlation dimension of the system.
In a d-dimensional system, the maximum value for D is d. This value is
obtained for systems that expand uniformly in each dimension with time.
The lowest possible value is 0 for a system with constant C(r) (i.e. a
system that visits just one point in the phase space). Generally if D is
lower than d and the system has an attractor, this attractor is called
"strange" and D is a measure of this "strangeness".
Explanation of the algorithm:
The Grassberger-Procaccia algorithm calculates C(r) for a range of
different r and then fits a straight line into the plot of log(C(r))
versus log(r).
This version of the algorithm is created for one-dimensional (scalar) time
series. Therefore, before calculating C(r), a delay embedding of the time
series is performed to yield emb_dim dimensional vectors
Y_i = [X_i, X_(i+1), X_(i+2), ... X_(i+embd_dim-1)]. Choosing a higher
value for emb_dim allows to reconstruct higher dimensional dynamics and
avoids "systematic errors due to corrections to scaling".
References:
.. [cd_1] P. Grassberger and I. Procaccia, “Characterization of strange
attractors,” Physical review letters, vol. 50, no. 5, p. 346,
1983.
.. [cd_2] P. Grassberger and I. Procaccia, “Measuring the strangeness of
strange attractors,” Physica D: Nonlinear Phenomena, vol. 9,
no. 1, pp. 189–208, 1983.
.. [cd_3] P. Grassberger, “Grassberger-Procaccia algorithm,”
Scholarpedia, vol. 2, no. 5, p. 3043.
urL: http://www.scholarpedia.org/article/Grassberger-Procaccia_algorithm
Reference Code:
.. [cd_a] "corrDim" function in R package "fractal",
url: https://cran.r-project.org/web/packages/fractal/fractal.pdf
.. [cd_b] Peng Yuehua, "Correlation dimension",
url: http://de.mathworks.com/matlabcentral/fileexchange/24089-correlation-dimension
Args:
data (array-like of float):
time series of data points
emb_dim (int):
embedding dimension
Kwargs:
rvals (iterable of float):
list of values for to use for r
(default: logarithmic_r(0.1 * std, 0.5 * std, 1.03))
dist (function (2d-array, 1d-array) -> 1d-array):
row-wise difference function
fit (str):
the fitting method to use for the line fit, either 'poly' for normal
least squares polynomial fitting or 'RANSAC' for RANSAC-fitting which
is more robust to outliers
debug_plot (boolean):
if True, a simple plot of the final line-fitting step will be shown
debug_data (boolean):
if True, debugging data will be returned alongside the result
plot_file (str):
if debug_plot is True and plot_file is not None, the plot will be saved
under the given file name instead of directly showing it through
``plt.show()``
Returns:
float:
correlation dimension as slope of the line fitted to log(r) vs log(C(r))
(1d-vector, 1d-vector, list):
only present if debug_data is True: debug data of the form
``(rvals, csums, poly)`` where ``rvals`` are the values used for log(r),
``csums`` are the corresponding log(C(r)) and ``poly`` are the line
coefficients (``[slope, intercept]``)
"""
data = np.asarray(data)
# TODO what are good values for r?
# TODO do this for multiple values of emb_dim?
if rvals is None:
sd = np.std(data)
rvals = logarithmic_r(0.1 * sd, 0.5 * sd, 1.03)
n = len(data)
orbit = delay_embedding(data, emb_dim, lag=1)
dists = np.array([dist(orbit, orbit[i]) for i in range(len(orbit))])
csums = []
for r in rvals:
s = 1.0 / (n * (n - 1)) * np.sum(dists < r)
csums.append(s)
csums = np.array(csums)
# filter zeros from csums
nonzero = np.where(csums != 0)
rvals = np.array(rvals)[nonzero]
csums = csums[nonzero]
if len(csums) == 0:
# all sums are zero => we cannot fit a line
poly = [np.nan, np.nan]
else:
poly = poly_fit(np.log(rvals), np.log(csums), 1, fit=fit)
if debug_plot:
plot_reg(np.log(rvals), np.log(csums), poly, "log(r)", "log(C(r))",
fname=plot_file)
if debug_data:
return (poly[0], (np.log(rvals), np.log(csums), poly))
else:
return poly[0]
[docs]def dfa(data, nvals=None, overlap=True, order=1, fit_trend="poly",
fit_exp="RANSAC", debug_plot=False, debug_data=False, plot_file=None):
"""
Performs a detrended fluctuation analysis (DFA) on the given data
Recommendations for parameter settings by Hardstone et al.:
* nvals should be equally spaced on a logarithmic scale so that each window
scale hase the same weight
* min(nvals) < 4 does not make much sense as fitting a polynomial (even if
it is only of order 1) to 3 or less data points is very prone.
* max(nvals) > len(data) / 10 does not make much sense as we will then have
less than 10 windows to calculate the average fluctuation
* use overlap=True to obtain more windows and therefore better statistics
(at an increased computational cost)
Explanation of DFA:
Detrended fluctuation analysis, much like the Hurst exponent, is used to
find long-term statistical dependencies in time series.
The idea behind DFA originates from the definition of self-affine
processes. A process X is said to be self-affine if the standard deviation
of the values within a window of length n changes with the window length
factor L in a power law:
std(X,L * n) = L^H * std(X, n)
where std(X, k) is the standard deviation of the process X calculated over
windows of size k. In this equation, H is called the Hurst parameter, which
behaves indeed very similar to the Hurst exponent.
Like the Hurst exponent, H can be obtained from a time series by
calculating std(X,n) for different n and fitting a straight line to the
plot of log(std(X,n)) versus log(n).
To calculate a single std(X,n), the time series is split into windows of
equal length n, so that the ith window of this size has the form
W_(n,i) = [x_i, x_(i+1), x_(i+2), ... x_(i+n-1)]
The value std(X,n) is then obtained by calculating std(W_(n,i)) for each i
and averaging the obtained values over i.
The aforementioned definition of self-affinity, however, assumes that the
process is non-stationary (i.e. that the standard deviation changes over
time) and it is highly influenced by local and global trends of the time
series.
To overcome these problems, an estimate alpha of H is calculated by using a
"walk" or "signal profile" instead of the raw time series. This walk is
obtained by substracting the mean and then taking the cumulative sum of the
original time series. The local trends are removed for each window
separately by fitting a polynomial p_(n,i) to the window W_(n,i) and then
calculating W'_(n,i) = W_(n,i) - p_(n,i) (element-wise substraction).
We then calculate std(X,n) as before only using the "detrended" window
W'_(n,i) instead of W_(n,i). Instead of H we obtain the parameter alpha
from the line fitting.
For alpha < 1 the underlying process is stationary and can be modelled as
fractional Gaussian noise with H = alpha. This means for alpha = 0.5 we
have no correlation or "memory", for 0.5 < alpha < 1 we have a memory with
positive correlation and for alpha < 0.5 the correlation is negative.
For alpha > 1 the underlying process is non-stationary and can be modeled
as fractional Brownian motion with H = alpha - 1.
References:
.. [dfa_1] C.-K. Peng, S. V. Buldyrev, S. Havlin, M. Simons,
H. E. Stanley, and A. L. Goldberger, “Mosaic organization of
DNA nucleotides,” Physical Review E, vol. 49, no. 2, 1994.
.. [dfa_2] R. Hardstone, S.-S. Poil, G. Schiavone, R. Jansen,
V. V. Nikulin, H. D. Mansvelder, and K. Linkenkaer-Hansen,
“Detrended fluctuation analysis: A scale-free view on neuronal
oscillations,” Frontiers in Physiology, vol. 30, 2012.
Reference code:
.. [dfa_a] Peter Jurica, "Introduction to MDFA in Python",
url: http://bsp.brain.riken.jp/~juricap/mdfa/mdfaintro.html
.. [dfa_b] JE Mietus, "dfa",
url: https://www.physionet.org/physiotools/dfa/dfa-1.htm
.. [dfa_c] "DFA" function in R package "fractal"
Args:
data (array-like of float):
time series
Kwargs:
nvals (iterable of int):
subseries sizes at which to calculate fluctuation
(default: logarithmic_n(4, 0.1*len(data), 1.2))
overlap (boolean):
if True, the windows W_(n,i) will have a 50% overlap,
otherwise non-overlapping windows will be used
order (int):
(polynomial) order of trend to remove
fit_trend (str):
the fitting method to use for fitting the trends, either 'poly'
for normal least squares polynomial fitting or 'RANSAC' for
RANSAC-fitting which is more robust to outliers but also tends to
lead to unstable results
fit_exp (str):
the fitting method to use for the line fit, either 'poly' for normal
least squares polynomial fitting or 'RANSAC' for RANSAC-fitting which
is more robust to outliers
debug_plot (boolean):
if True, a simple plot of the final line-fitting step will be shown
debug_data (boolean):
if True, debugging data will be returned alongside the result
plot_file (str):
if debug_plot is True and plot_file is not None, the plot will be saved
under the given file name instead of directly showing it through
``plt.show()``
Returns:
float:
the estimate alpha for the Hurst parameter (alpha < 1: stationary
process similar to fractional Gaussian noise with H = alpha,
alpha > 1: non-stationary process similar to fractional Brownian
motion with H = alpha - 1)
(1d-vector, 1d-vector, list):
only present if debug_data is True: debug data of the form
``(nvals, fluctuations, poly)`` where ``nvals`` are the values used for
log(n), ``fluctuations`` are the corresponding log(std(X,n)) and ``poly``
are the line coefficients (``[slope, intercept]``)
"""
data = np.asarray(data)
total_N = len(data)
if nvals is None:
if total_N > 70:
nvals = logarithmic_n(4, 0.1 * total_N, 1.2)
elif total_N > 10:
nvals = [4, 5, 6, 7, 8, 9]
else:
nvals = [total_N-2, total_N-1]
msg = "choosing nvals = {} , DFA with less than ten data points is " \
+ "extremely unreliable"
warnings.warn(msg.format(nvals),RuntimeWarning)
if len(nvals) < 2:
raise ValueError("at least two nvals are needed")
if np.min(nvals) < 2:
raise ValueError("nvals must be at least two")
if np.max(nvals) >= total_N:
raise ValueError("nvals cannot be larger than the input size")
# create the signal profile
# (cumulative sum of deviations from the mean => "walk")
walk = np.cumsum(data - np.mean(data))
fluctuations = []
for n in nvals:
assert n >= 2
# subdivide data into chunks of size n
if overlap:
# step size n/2 instead of n
d = np.array([walk[i:i + n] for i in range(0, len(walk) - n, n // 2)])
else:
# non-overlapping windows => we can simply do a reshape
d = walk[:total_N - (total_N % n)]
d = d.reshape((total_N // n, n))
# calculate local trends as polynomes
x = np.arange(n)
tpoly = [poly_fit(x, d[i], order, fit=fit_trend)
for i in range(len(d))]
tpoly = np.array(tpoly)
trend = np.array([np.polyval(tpoly[i], x) for i in range(len(d))])
# calculate standard deviation ("fluctuation") of walks in d around trend
flucs = np.sqrt(np.sum((d - trend) ** 2, axis=1) / n)
# calculate mean fluctuation over all subsequences
f_n = np.sum(flucs) / len(flucs)
fluctuations.append(f_n)
fluctuations = np.array(fluctuations)
# filter zeros from fluctuations
nonzero = np.where(fluctuations != 0)
nvals = np.array(nvals)[nonzero]
fluctuations = fluctuations[nonzero]
if len(fluctuations) == 0:
# all fluctuations are zero => we cannot fit a line
poly = [np.nan, np.nan]
else:
poly = poly_fit(np.log(nvals), np.log(fluctuations), 1,
fit=fit_exp)
if debug_plot:
plot_reg(np.log(nvals), np.log(fluctuations), poly, "log(n)", "std(X,n)",
fname=plot_file)
if debug_data:
return (poly[0], (np.log(nvals), np.log(fluctuations), poly))
else:
return poly[0]