Distinguishing chaotic and stochastic dynamics from time series by using a multiscale symbolic approach

L. ZUNINO; M. C. SORIANO; O. A. ROSSO

PHYSICAL REVIEW E - STATISTICAL PHYSICS, PLASMAS, FLUIDS AND RELATED INTERDISCIPLINARY TOPICS

American Physical Society

Año: 2012 vol. 86 p. 46210 - 4622010

1063-651X

In this paper we introduce a multiscale symbolic information-theory approach for discriminating nonlinear deterministic and stochastic dynamics from time series associated with complex systems. More precisely, we show that the multiscale complexity-entropy causality plane is a useful representation space to identify the range of scales at which deterministic or noisy behaviors dominate the system?s dynamics. Numerical simulations obtained from the well-known and widely used Mackey-Glass oscillator operating in a high-dimensional chaotic regime were used as test beds. The effect of an increased amount of observational white noise was carefully examined. The results obtained were contrasted with those derived from correlated stochastic processes and continuous stochastic limit cycles. Finally, several experimental and natural time series were analyzed in order to show the applicability of this scale-dependent symbolic approach in practical situations.