Wroclaw University of Technology Analyzing stochastic time series Tutorial Malgorzata Kotulska...

Wroclaw University of Technology

Analyzing stochastic time seriesTutorial

Malgorzata KotulskaDepartment of Biomedical Engineering & Instrumentation

Wroclaw University of Technology, Poland

Kingston University, Dept. Computing, Information Systems and Mathematics


Outline

1. Data motivated analysis - time series in the real life

2. Probability and time series - stochastic vs dterministic

3. Stationarity

4. Correlations in time series

5. Modelling linear time series with short-range correlations – ARIMA processes

6. Time series with long correlations – Gaussian and non-Gaussian self-similar processes, fractional ARIMA


Time series – examples

P. J. Brockwell, R. A. Davis, Introduction to Time Series and Forecasting, Springer, 1987


Ionic channels in cell membrane

M. Kullman, M. Winterhalter, S. Bezrukov, Biophys. J.82 (2003) p.802


Nile river

J. Beran, Statistics for long-memory processes, Chapman and Hall, 1994


Objectives of time series analysis

Data description Data interpretation Data forecasting Control Modelling / Hypothesis testing Prediction


Time series

0 2 4 6 8-1

-0.5

0

0.5

1x 10

-11

100], 50, 30, [20,f 8]; 7, ,1,3, [2A

2sin

i

iii tfASignal


p eriod ic ap eriod ic

d e te rm in is tic ran d om

tim e series


Time series – realization of a stochastic process

{Xt} is a stochastic time series if each component takes a value according to a certain probability distribution function.

A time series model specifies the joint distribution of the sequence of random variables.


White noise - example of a time series model


Gaussian white noise


Stochastic properties of the process

STATIONARITY

System does not change its properties in time

Well-developed analytical methods of signal analysis and stochastic processes


WHEN A STOCHASTIC PROCESS IS STATIONARY?

{Xt} is a strictly stationary time series if

(X1,...,Xn)=d (X1+h,...,Xn+h),

where n1, h – integer, =d means distribution equality

Properties:

• The random variables are identically distributed.

• An idependent identically distributed (iid) sequence is strictly stationary.


Weak stationarity

{Xt} is a weakly stationary time series if

• EXt = and Var(Xt)=2 are independent of time t

• Cov(Xs, Xr) depends on (s-r) only, independent of t.

Properties: E(Xt2) is time-invariant.


Quantitative method for stationarity Reverse Arrangement Test

Weak stationarity:

Testing if E(Xt2) is time-invariant


Quantile line method

A quantile of order , 0 1, is such a value k(t) that probability of the series taking value less than k(t) at time t

equals .

P{Xt k(t)}=

PROPERTIES:

• Lines parallel to the time axis stationarity

• Lines parallel to each other, not to the time axis constant variance, a variable mean (or median)

• Lines not parallel to each other a variable variance (or scale parameter)


Quantile lines of the raw time series

Nonstationarity with a variable mean and variance


Trend removal

Segmentation of the series

Specific analytical methods (e.g. ambiguity function, variograms for autocorrelation function)

Methods for nonstationary time series


Trend estimation

• Polynomial (or other, e.g. log) estimation and removal

• Filters, e.g. moving average filter, FIR, IIR filters

• Differencing


Seasonal modelsClassical decomposition model

seasonal componenttrendStochastic process

random noise

Xt = mt + Yt + st


Backshift operator B


Detrended series

P. J. Brockwell, R. A. Davis, Introduction to Time Series and Forecasting, Springer, 1987


Quantile lines of the differenced time series


(Sample) autocorrelation function


Range of correlations

Independent data (e.g. WN)

Short-range correlations

Long-range correlations (correlated or anti-correlated

structure)


ACF for Gaussian WN


Short-range correlations

Markov processes(e.g. ionic channel conformational transition)

ARMA (ARIMA) linear processes

Nonlinear processes (e.g. GARCH process)


ARMA (ARIMA) models

Time series is an ARMA(p,q) process if Xt is stationary and if for every t:

Xt 1Xt-1 ... pXt-p= Zt + 1Zt-1 +...+ pZt-p

where Zt represents white noise with mean 0 and variance 2

Left side of the equation represents Autoregresive AR(p) part, and right side Moving Average MA(q) component.The polynomials (1- 1z-...- pzp) cannot have (1+ 1z+...+ pzq) common factors.


Examples

The range of MA component estimated by ACF (the lag number within Bartlett’s limits ), the range of AR component by PACF

Confidence band is


Exponential decay of ACF

MA(1)sample ACF

AR(1)


Stationary processes with long memory

Qualitative features

• Relatively long periods with high or low level of observation values

• In short periods there seems to be cycles and local trends. Looking at long series – no particular cycles or persisting trends

• Overall the series looks stationary


Stationary processes with long memory

Quantitative features

• The variance of the sample mean decays to zero at a slower rate. Instead of

there is

• The sample autocorrelation function decays to zero in a power-law manner instead of exponentially

• Similarly, the periodogram (frequency analysis) shows a power-law


Classical processes with long correlations

• Fractional ARIMA processes (fARIMA)

• Self similar processes


fARIMAARMA (p,q):

ARIMA (p,d,q):

fractional ARIMA (p,d,q):


Self-similar process

A process X={X(t)}t 0 is called self-similar if for some H > 0

H =1 – /2 – self-similarity index, (HR +)


Frequency-domain analysisPeriodogram

Periodogram - estimated PSD by a Fourier transform of a sample autocorrelation function.

Periodogram of a long memory time series depends on frequency according to power-law relationship (straight line on log-log plot).

It means that if one doubles the frequency - PSD diminishes by the same fraction regardless of the frequency


Basic features of self similar process1. APPEARANCE. If an amplitude of a self-similar process is

rescaled by r H, X (rt) looks like X (t), statistically indistinguishable.

2. VARIANCE of the signal changes as Var (X(t)) t 2H

3. CORRELATION - correlated or anticorrelated structuring

H=0.5 no memoryH>0.5 long memoryH<0.5 antipersistent long correlations – „short memory”

1. PERIODOGRAM - power-law dependance on frequency


NileExample

J. Beran, Statistics for long-memory processes, Chapman and Hall, 1994


Methods

R/S analysis by Hurst

DFA – Detrended Fluctuation Analysis

Exponent-based (correlogram, periodogram of the residuals) : H =1 – /2

other (for appropriate PDFs, e.g. Orey index)


Hurst exponent – the algorithmA series with N elements is divided into shorter series – n elements each


Hurst exponent


Classical self-similar processes


• A series n (n=1,...,N) of uncorrelated and random variables

• Each n - Gaussian distribution N(0,)

Brownian motion

• A sum of Gaussian white-noise sequence yn(Bm)=

n(Bm)= n1/2

Gaussian noise

Fractional Brownian motions (fBm)

n(fBm) nH


Fractional Brownian motions (fBm)

X={X(t)}t 0

is a nonstationary Gaussian process with mean zero and an autocovariance function:

))1(()t,(t2

21

2

2

2

121

21 XVarttttHHH

Fractional Gaussian noise (fGn)

A stationary process of increments in fBm (differences between values separated by some step)


Gaussian or non-gaussian process


Fractional Lévy Stable Motion

In the fractional Lévy stable motion (FLSM) the distribution is Lévy‑stable.

=0.5

Stable distribution (solid),

the attraction domain of stable distribution:

Burr and Pareto distributions (broken & dotted)


Scaling properties of PDF

-stable distributions have scaling properties – a sum of independent and identically distributed random variables maintains the same shape of the distribution.

• Similarly as the Gaussian distribution, also a stable distribution (CLT).

• Only a few -stable distributions have direct formulas for their probability density function. Usually only the characteristic function is given. The distinctive properties of -stable distributions are their long tails, infinite variance and, in some cases, infinite mean value.


fractional Levy-stable motion

Z(u) is a symmetric Lévy -stable motion, and is the stability index of stable distribution.

The increment process of FLSM is stationary and it is called a fractional stable noise (FSN).

)(])()([)(/1/1

udZuuttZHHH

fLSM process is a self‑similar non-stationary process which can be represented as


Memory of a self-similar process

d = H 1/

For a Gaussian process =2

For d > 0 the memory is long – a long-range persistent process.

Otherwise (d < 0) – a long-range antipersistent process („short memory”). The time series looks very rough


Summary Time series can be deterministic or stochastic. Visual

distinction not always possible.

Stochastic time series may tested analytically by statistical methods and an appropriate model attributed if the series is stationary. Otherwise a pre-processing needed.

Random data in time series may be correlated. Correlations are called memory.

Independent data (e.g. WN) do not have a memory. Each element assumes a value according to an independent probability density function.


Summary (2) In short-range memory the time series is correlated with a few

elements back; the autocorrelation function shows an exponential decay.

Typical models of time series with short memory are linear ARMA models - linear combination of previous elements and white noise components. The range of AR component estimated by ACF, the range of MA component by PACF.

In long-range memory the series is correlated with vary far away elements. The decay of the autocorrelation function is slower than exponential. ACF decays according to power-law.

Long-range time series can be typically modelled by self-similar processes (fBm, FLSM) or fARIMA linear models


Recommended text books

• P. J. Brockwell, R. A. Davis, Introduction to Time Series and Forecasting, Springer, 1987

• J. Beran, Statistics for long-memory processes, Chapman and Hall, 1994

• G.E.P.Box, G.M. Jenkins, Time series analysis: forecasting and control, Holden Day, 1970

Wroclaw University of Technology Analyzing stochastic time series Tutorial Malgorzata Kotulska...

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