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Time series with tailored nonlinearities

Räth, Christoph and Laut, Ingo (2015) Time series with tailored nonlinearities. Physical Review E, 92 (4), 040902. American Physical Society. ISSN 1539-3755

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Official URL: http://journals.aps.org/pre/pdf/10.1103/PhysRevE.92.040902


It is demonstrated how to generate time series with tailored nonlinearities by inducing well-defined constraints on the Fourier phases. Correlations between the phase information of adjacent phases and (static and dynamic) measures of nonlinearities are established and their origin is explained. By applying a set of simple constraints on the phases of an originally linear and uncorrelated Gaussian time series, the observed scaling behavior of the intensity distribution of empirical time series can be reproduced. The power law character of the intensity distributions being typical for, e.g., turbulence and financial data can thus be explained in terms of phase correlations.

Item URL in elib:https://elib.dlr.de/98935/
Document Type:Article
Title:Time series with tailored nonlinearities
AuthorsInstitution or Email of AuthorsAuthor's ORCID iD
Räth, ChristophDLR Research Group Complex Plasma, OberpfaffenhofenUNSPECIFIED
Laut, IngoDLR Research Group Complex Plasma, OberpfaffenhofenUNSPECIFIED
Date:October 2015
Journal or Publication Title:Physical Review E
Refereed publication:Yes
Open Access:Yes
Gold Open Access:No
In ISI Web of Science:Yes
Page Range:040902
Publisher:American Physical Society
Keywords:Time series analysis, Economics, econophysics financial markets business and management, Time series analysis time variability
HGF - Research field:Aeronautics, Space and Transport
HGF - Program:Space
HGF - Program Themes:Research under Space Conditions
DLR - Research area:Raumfahrt
DLR - Program:R FR - Forschung unter Weltraumbedingungen
DLR - Research theme (Project):R - Komplexe Plasmen / Data analysis
Location: Oberpfaffenhofen
Institutes and Institutions:Research Group Complex Plasma
Deposited By: Räth, Christoph
Deposited On:03 Nov 2015 14:32
Last Modified:18 Jun 2020 04:22

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