Effect of extreme data loss on long-range correlated and anticorrelated signals quantified by detrended fluctuation analysis

Tsallis q-Statistics in Seismology

Non-extensive statistical mechanics (or q-statistics) is based on the so-called non-additive Tsallis entropy. Since its introduction by Tsallis, in 1988, as a generalization of the Boltzmann-Gibbs equilibrium statistical mechanics, it has steadily gained ground as a suitable theory for the description of the statistical properties of non-equilibrium complex systems. Therefore, it has been applied to numerous phenomena, including real seismicity. In particular, Tsallis entropy is expected to provide a guiding principle to reveal novel aspects of complex dynamical systems with catastrophes, such as seismic events. The exploration of the existing connections between Tsallis formalism and real seismicity has been the focus of extensive research activity in the last two decades. In particular, Tsallis q-statistics has provided a unified framework for the description of the collective properties of earthquakes and faults. Despite this progress, our present knowledge of the physical processes leading to the initiation of a rupture, and its subsequent growth through a fault system, remains quite limited. The aim of this paper was to provide an overview of the non-extensive interpretation of seismicity, along with the contributions of the Tsallis formalism to the statistical description of seismic events.

Homology groups of embedded fractional Brownian motion

A well-known class of nonstationary self-similar time series is the fractional Brownian motion (fBm) considered to model ubiquitous stochastic processes in nature. Due to noise and trends superimposed on data and even sample size and irregularity impacts, the well-known computational algorithm to compute the Hurst exponent (H) has encountered superior results. Motivated by this discrepancy, we examine the homology groups of high-dimensional point cloud data (PCD), a subset of the unit D-dimensional cube, constructed from synthetic fBm data as a pipeline to compute the H exponent. We compute topological measures for embedded PCD as a function of the associated Hurst exponent for different embedding dimensions, time delays, and amount of irregularity existing in the dataset in various scales. Our results show that for a regular synthetic fBm, the higher value of the embedding dimension leads to increasing the H dependency of topological measures based on zeroth and first homology groups. To achieve a reliable classification of fBm, we should consider the small value of time delay irrespective of the irregularity presented in the data. More interestingly, the value of the scale for which the PCD to be path connected and the postloopless regime scale are more robust concerning irregularity for distinguishing the fBm signal. Such robustness becomes less for the higher value of the embedding dimension. Finally, the associated Hurst exponents for our topological feature vector for the S&P500 were computed, and the results are consistent with the detrended fluctuation analysis method.

Long- and short-term fluctuations compared for several organ systems across sleep stages

Some details of cardiovascular and cardio-respiratory regulation and their changes during different sleep stages remain still unknown. In this paper we compared the fluctuations of heart rate, pulse rate, respiration frequency, and pulse transit times as well as EEG alpha-band power on time scales from 6 to 200 s during different sleep stages in order to better understand regulatory pathways. The five considered time series were derived from ECG, photoplethysmogram, nasal air flow, and central electrode EEG measurements from full-night polysomnography recordings of 246 subjects with suspected sleep disorders. We applied detrended fluctuation analysis, distinguishing between short-term (6-16 s) and long-term (50-200 s) correlations, i.e., scaling behavior characterized by the fluctuation exponents α ₁ and α ₂ related with parasympathetic and sympathetic control, respectively. While heart rate (and pulse rate) are characterized by sex and age-dependent short-term correlations, their long-term correlations exhibit the well-known sleep stage dependence: weak long-term correlations during non-REM sleep and pronounced long-term correlations during REM sleep and wakefulness. In contrast, pulse transit times, which are believed to be mainly affected by blood pressure and arterial stiffness, do not show differences between short-term and long-term exponents. This is in constrast to previous results for blood pressure time series, where α ₁ was much larger than α ₂, and therefore questions a very close relation between pulse transit times and blood pressure values. Nevertheless, very similar sleep-stage dependent differences are observed for the long-term fluctuation exponent α ₂ in all considered signals including EEG alpha-band power. In conclusion, we found that the observed fluctuation exponents are very robust and hardly modified by body mass index, alcohol consumption, smoking, or sleep disorders. The long-term fluctuations of all observed systems seem to be modulated by patterns following sleep stages generated in the brain and thus regulated in a similar manner, while short-term regulations differ between the organ systems. Deviations from the reported dependence in any of the signals should be indicative of problems in the function of the particular organ system or its control mechanisms.

Inferring long memory using extreme events

Many natural and physical processes display long memory and extreme events. In these systems, the measured time series is invariably contaminated by noise and/or missing data. As the extreme events display a large deviation from the mean behavior, noise and/or missing data do not affect the extreme events as much as it affects the typical values. Since the extreme events also carry the information about correlations in the full-time series, we can use them to infer the correlation properties of the latter. In this work, we construct three modified time series using only the extreme events from a given time series. We show that the correlations in the original time series and in the modified time series are related, as measured by the exponent obtained from the detrended fluctuation analysis technique. Hence, the correlation exponents for a long memory time series can be inferred from its extreme events alone. We demonstrate this approach for several empirical time series.

Enhanced multiresolution wavelet analysis of complex dynamics in nonlinear systems

Multiresolution wavelet analysis (MWA) is a powerful data processing tool that provides a characterization of complex signals over multiple time scales. Typically, the standard deviations of wavelet coefficients are computed depending on the resolution level and such quantities are used as measures for diagnosing different types of system behavior. To enhance the capabilities of this tool, we propose a combination of MWA with detrended fluctuation analysis (DFA) of detail wavelet coefficients. We find that such an MWA&DFA approach is capable of revealing the correlation features of wavelet coefficients in independent ranges of scales, which provide more information about the complex organization of datasets compared to variances or similar statistical measures of the standard MWA. Using this approach, we consider changes in the dynamics of coupled chaotic systems caused by transitions between different types of complex oscillations. We also demonstrate the potential of the MWA&DFA method for characterizing different physiological conditions by analyzing the electrical brain activity in mice.

Distinguishing Epileptiform Discharges From Normal Electroencephalograms Using Adaptive Fractal and Network Analysis: A Clinical Perspective

Epilepsy is one of the most common disorders of the brain. Clinically, to corroborate an epileptic seizure-like symptom and to find the seizure localization, electroencephalogram (EEG) data are often visually examined by a clinical doctor to detect the presence of epileptiform discharges. Epileptiform discharges are transient waveforms lasting for several tens to hundreds of milliseconds and are mainly divided into seven types. It is important to develop systematic approaches to accurately distinguish these waveforms from normal control ones. This is a difficult task if one wishes to develop first principle rather than black-box based approaches, since clinically used scalp EEGs usually contain a lot of noise and artifacts. To solve this problem, we analyzed 640 multi-channel EEG segments, each 4s long. Among these segments, 540 are short epileptiform discharges, and 100 are from healthy controls. We have proposed two approaches for distinguishing epileptiform discharges from normal EEGs. The first method is based on Signal Range and EEGs' long range correlation properties characterized by the Hurst parameter H extracted by applying adaptive fractal analysis (AFA), which can also maximally suppress the effects of noise and various kinds of artifacts. Our second method is based on networks constructed from three aspects of the scalp EEG signals, the Signal Range, the energy of the alpha wave component, and EEG's long range correlation properties. The networks are further analyzed using singular value decomposition (SVD). The square of the first singular value from SVD is used to construct features to distinguish epileptiform discharges from normal controls. Using Random Forest Classifier (RF), our approaches can achieve very high accuracy in distinguishing epileptiform discharges from normal control ones, and thus are very promising to be used clinically. The network-based approach is also used to infer the localizations of each type of epileptiform discharges, and it is found that the sub-networks representing the most likely location of each type of epileptiform discharges are different among the seven types of epileptiform discharges.

Extended detrended fluctuation analysis of electroencephalograms signals during sleep and the opening of the blood-brain barrier

Detrended fluctuation analysis (DFA) is widely used to characterize long-range power-law correlations in complex signals. However, it has restrictions when nonstationarity is not limited only to slow variations in the mean value. To improve the characterization of inhomogeneous datasets, we have proposed the extended DFA (EDFA), which is a modification of the conventional method that evaluates an additional scaling exponent to take into account the features of time-varying nonstationary behavior. Based on EDFA, here, we analyze rat electroencephalograms to identify specific changes in the slow-wave dynamics of brain electrical activity associated with two different conditions, such as the opening of the blood-brain barrier and sleep, which are both characterized by the activation of the brain drainage function. We show that these conditions cause a similar reduction in the scaling exponents of EDFA. Such a similarity may represent an informative marker of fluid homeostasis of the central nervous system.

Assessing the Temporal Organization of Walking Variability: A Systematic Review and Consensus Guidelines on Detrended Fluctuation Analysis

Human physiological signals are inherently rhythmic and have a hallmark feature in that even distant intrasignal measurements are related to each other. This relationship is termed long-range correlation and has been recognized as an indicator of the optimal state of the observed physiological systems, among which the locomotor system. Loss of long-range correlations has been found as a result of aging as well as disease, which can be evaluated with detrended fluctuation analysis (DFA). Recently, DFA and the scaling exponent α have been employed for understanding the degeneration of temporal regulation of human walking biorhythms in, for example, Parkinson disease (PD). However, heterogeneous evidence on scaling exponent α values reported in the literature across different population groups has put into question what constitutes a healthy physiological pattern. Therefore, the purpose of this systematic review was to investigate the functional thresholds of scaling exponent α in young vs. older adults, as well as between patients with PD and age-matched asymptomatic controls. Aging and PD exhibited a negative effect size (i.e., led to decreased long-range correlations) of -0.20 and -0.53, respectively. Our meta-analysis based on 14 studies provides evidence that a mean scaling exponent α threshold of 0.86 [2 standard error (0.76, 0.96)] is able to optimally discriminate temporal organization of stride interval between young and old, whereas 0.82 (0.72, 0.92) differentiates patients with PD and age-matched asymptomatic controls. The optimal thresholds presented in this review together with the consensus guidelines for using DFA might allow a more sensitive and reliable application of this metric for understanding human walking physiology than has been achieved to date.

Fractal Complexity of Daily Physical Activity Patterns Differs With Age Over the Life Span and Is Associated With Mortality in Older Adults

BACKGROUND

Accelerometers are included in a wide range of devices that monitor and track physical activity for health-related applications. However, the clinical utility of the information embedded in their rich time-series data has been greatly understudied and has yet to be fully realized. Here, we examine the potential for fractal complexity of actigraphy data to serve as a clinical biomarker for mortality risk.

METHODS

We use detrended fluctuation analysis (DFA) to analyze actigraphy data from the National Health and Nutrition Examination Survey (NHANES; n = 11,694). The DFA method measures fractal complexity (signal self-affinity across time-scales) as correlations between the amplitude of signal fluctuations in time-series data across a range of time-scales. The slope, α, relating the fluctuation amplitudes to the time-scales over which they were measured describes the complexity of the signal.

RESULTS

Fractal complexity of physical activity (α) decreased significantly with age (p = 1.29E-6) and was lower in women compared with men (p = 1.79E-4). Higher levels of moderate-to-vigorous physical activity in older adults and in women were associated with greater fractal complexity. In adults aged 50-79 years, lower fractal complexity of activity (α) was associated with greater mortality (hazard ratio = 0.64; 95% confidence interval = 0.49-0.82) after adjusting for age, exercise engagement, chronic diseases, and other covariates associated with mortality.

CONCLUSIONS

Wearable accelerometers can provide a noninvasive biomarker of physiological aging and mortality risk after adjusting for other factors strongly associated with mortality. Thus, this fractal analysis of accelerometer signals provides a novel clinical application for wearable accelerometers, advancing efforts for remote monitoring of physiological health by clinicians.

Probabilistic properties of detrended fluctuation analysis for Gaussian processes

Detrended fluctuation analysis (DFA) is one of the most widely used tools for the detection of long-range dependence in time series. Although DFA has found many interesting applications and has been shown to be one of the best performing detrending methods, its probabilistic foundations are still unclear. In this paper, we study probabilistic properties of DFA for Gaussian processes. Our main attention is paid to the distribution of the squared error sum of the detrended process. We use a probabilistic approach to derive general formulas for the expected value and the variance of the squared fluctuation function of DFA for Gaussian processes. We also get analytical results for the expected value of the squared fluctuation function for particular examples of Gaussian processes, such as Gaussian white noise, fractional Gaussian noise, ordinary Brownian motion, and fractional Brownian motion. Our analytical formulas are supported by numerical simulations. The results obtained can serve as a starting point for analyzing the statistical properties of DFA-based estimators for the fluctuation function and long-memory parameter.

Multifractal analysis of financial markets: a review

Multifractality is ubiquitously observed in complex natural and socioeconomic systems. Multifractal analysis provides powerful tools to understand the complex nonlinear nature of time series in diverse fields. Inspired by its striking analogy with hydrodynamic turbulence, from which the idea of multifractality originated, multifractal analysis of financial markets has bloomed, forming one of the main directions of econophysics. We review the multifractal analysis methods and multifractal models adopted in or invented for financial time series and their subtle properties, which are applicable to time series in other disciplines. We survey the cumulating evidence for the presence of multifractality in financial time series in different markets and at different time periods and discuss the sources of multifractality. The usefulness of multifractal analysis in quantifying market inefficiency, in supporting risk management and in developing other applications is presented. We finally discuss open problems and further directions of multifractal analysis.

The critical role of respiratory sinus arrhythmia on temporal cardiac dynamics

Temporal cardiac properties provide alternative information in analyzing heart rate variability (HRV), which may be disregarded by the standard HRV analyses. Patients with congestive heart failure (CHF) are known to have distinct temporal features from the healthy individuals. However, the underlying mechanism leading to the variation remains unclear. Whether or not these parameters can finely classify the severity for CHF patients is uncertain as well. In this work, an electrocardiogram was monitored in advanced CHF patients using 24-h Holter in four conditions, including baseline, one and three months after atenolol therapy, and healthy individuals. Slope and area under the curve (AUC) of multiscale entropy (MSE) curve over short (scales 1-5) and long (scales 6-20) scales, and detrended fluctuation analysis (DFA) scaling exponents at short (4-11 beats) and intermediate (>11 beats) window sizes were calculated. The results show that short-time scale MSE-derived parameters (slope: -0.08 ± 0.10, -0.03 ± 0.10, 0.02 ± 0.06, 0.08 ± 0.06; AUC: 4.03 ± 2.11, 4.69 ± 1.28, 4.73 ± 0.94, and 6.17 ± 1.23) and short-time scale DFA exponent (0.79 ± 0.16, 0.95 ± 0.22, 1.11 ± 0.19, and 1.35 ± 0.20) can hierarchically classify all four conditions. More importantly, simulated R-R intervals with different fractions and amplitude of respiratory sinus arrhythmia (RSA) components were examined to validate our hypothesis regarding the essentiality of RSA in the improvement of cardiovascular function, and its tight association with unpredictability and fractal property of HRV, which is in line with our hypothesis that RSA contributes significantly to the generation of the unpredictability and fractal behavior of HR dynamics.NEW & NOTEWORTHY Temporal cardiac properties provide useful diagnostic parameters for patients with congestive heart failure (CHF). Our study hierarchically classified CHF patients with β-blocker treatment by using multiscale entropy and detrended fluctuation analysis. Also, we provided the evidence to validate the critical role of respiratory sinus arrhythmia in the fractal properties of heart rate variability.

Tightening Up the Control of Treadmill Walking: Effects of Maneuverability Range and Acoustic Pacing on Stride-to-Stride Fluctuations

The correlational structure of stride-to-stride fluctuations differs between healthy and pathological gait. Uncorrelated and anti-persistent stride-to-stride fluctuations are believed to indicate pathology whereas persistence represents healthy functioning. However, this reading can be questioned because the correlational structure changes with task constraints, like acoustic pacing, signifying the tightness of control over particular gait parameters. We tested this “tightness-of-control interpretation” by varying the maneuverability range during treadmill walking (small, intermediate, and large walking areas), with and without acoustic pacing. Stride-speed fluctuations exhibited anti-persistence, suggesting that stride speeds were tightly controlled, with a stronger degree of anti-persistence for smaller walking areas. Constant-speed goal-equivalent-manifold decompositions revealed simultaneous control of stride times and stride lengths, especially for smaller walking areas to limit stride-speed fluctuations. With acoustic pacing, participants followed both constant-speed and constant-stride-time task goals. This was reflected by a strong degree of anti-persistence around the stride-time by stride-length point that uniquely satisfied both goals. Our results strongly support the notion that anti-persistence in stride-to-stride fluctuations reflect the tightness of control over the associated gait parameter, while not tightly regulated gait parameters exhibit statistical persistence. We extend the existing body of knowledge by showing quantitative changes in anti-persistence of already tightly regulated stride-speed fluctuations.

Theoretical foundation of detrending methods for fluctuation analysis such as detrended fluctuation analysis and detrending moving average

We present a bottom-up derivation of fluctuation analysis with detrending for the detection of long-range correlations in the presence of additive trends or intrinsic nonstationarities. While the well-known detrended fluctuation analysis (DFA) and detrending moving average (DMA) were introduced ad hoc, we claim basic principles for such methods where DFA and DMA are then shown to be specific realizations. The mean-squared displacement of the summed time series contains the same information about long-range correlations as the autocorrelation function but has much better statistical properties for large time lags. However, the scaling exponent of its estimator on a single time series is affected not only by trends on the data but also by intrinsic nonstationarities. We therefore define the fluctuation function as mean-squared displacement with weighting kernel. We require that its estimator be unbiased and exhibit the correct scaling behavior for the random component of a signal, which is only achieved if the weighting kernel implies detrending. We show how DFA and DMA satisfy these requirements and we extract their kernel weights.

Transitions in physiological coupling between heartbeat and pulse across sleep stages

OBJECTIVE

The aim of this study is to investigate the coupling behavior between heartbeat and pulse of blood flow at different sleep stages, and to explore the feasibility of using this coupling strength for automatic sleep staging.

APPROACH

The electrocardiogram and photoplethysmography signals are recorded during sleep, and R-wave-to-R-wave intervals (RRI) and pulse-to-pulse intervals (PPI) are extracted respectively. The detrended cross-correlation analysis (DCCA) is applied to quantify long-range cross correlations between the RRIs and PPIs across sleep stages. The DCCA scaling exponents are used as the indicator of coupling strength between heartbeat and pulse, and are compared with detrended fluctuation analysis (DFA) scaling exponents of RRIs and PPIs in the application of sleep stage discrimination.

MAIN RESULTS

We find the DCCA scaling exponents between RRIs and PPIs decrease monotonously from wake, REM sleep to light and deep sleep, indicating that the coupling strength between heartbeat and pulse are reduced gradually when entering deep sleep. Statistical analysis shows that the DCCA scaling exponents possess better discrimination ability between wake/REM sleep and light/deep sleep, compared with DFA scaling exponents of RRIs and PPIs.

SIGNIFICANCE

Our study reveals the coupling strength between heartbeat and pulse changes regularly across sleep stages, which may help understand the regulation mechanism underlying the cardiovascular system. The DCCA scaling exponents between RRIs and PPIs can be used as an indicator for measuring vigilance level and automatic sleep staging.

Sustainable Energy Consumption in Northeast Asia: A Case from China’s Fuel Oil Futures Market

The sustainable energy consumption in northeast Asia has a huge impact on regional stability and economic growth, which gives price volatility research in the energy market both theoretical value and practical application. We select China’s fuel oil futures market as a research subject and use recurrence interval analysis to investigate the price volatility pattern in different thresholds. We utilize the stretched exponential function to fit the pattern of the recurrence intervals of price fluctuations and find that the probability density functions of the recurrence intervals in different thresholds do not show the scaling behavior. Then the conditional probability density function and detrended fluctuation analysis prove that there is short-term and long-term correlation. Last, we use a hazard function to introduce the recurrence intervals into the (value at risk) VaR calculation and establish a functional relationship between the mean recurrence interval and the threshold. Following this result, we also shed light on policy discussion for hedgers and government.

Dual-induced multifractality in online viewing activity

Although recent studies have found that the long-term correlations relating to the fat-tailed distribution of inter-event times exist in human activity and that these correlations indicate the presence of fractality, the property of fractality and its origin have not been analyzed. We use both detrended fluctuation analysis and multifractal detrended fluctuation analysis to analyze the time series in online viewing activity separating from Movielens and Netflix. We find long-term correlations at both the individual and communal levels and that the extent of correlation at the individual level is determined by the activity level. These long-term correlations also indicate that there is fractality in the pattern of online viewing. We first find a multifractality that results from the combined effect of the fat-tailed distribution of inter-event times (i.e., the times between successive viewing actions of individuals) and the long-term correlations in online viewing activity and verify this finding using three synthesized series. Therefore, it can be concluded that the multifractality in online viewing activity is caused by both the fat-tailed distribution of inter-event times and the long-term correlations and that this enlarges the generic property of human activity to include not just physical space but also cyberspace.

Characterizing scaling properties of complex signals with missed data segments using the multifractal analysis

The scaling properties of complex processes may be highly influenced by the presence of various artifacts in experimental recordings. Their removal produces changes in the singularity spectra and the Hölder exponents as compared with the original artifacts-free data, and these changes are significantly different for positively correlated and anti-correlated signals. While signals with power-law correlations are nearly insensitive to the loss of significant parts of data, the removal of fragments of anti-correlated signals is more crucial for further data analysis. In this work, we study the ability of characterizing scaling features of chaotic and stochastic processes with distinct correlation properties using a wavelet-based multifractal analysis, and discuss differences between the effect of missed data for synchronous and asynchronous oscillatory regimes. We show that even an extreme data loss allows characterizing physiological processes such as the cerebral blood flow dynamics.

The fractal organization of ultradian rhythms in avian behavior

Living systems exhibit non-randomly organized biochemical, physiological, and behavioral processes that follow distinctive patterns. In particular, animal behavior displays both fractal dynamics and periodic rhythms yet the relationship between these two dynamic regimens remain unexplored. Herein we studied locomotor time series of visually isolated Japanese quails sampled every 0.5 s during 6.5 days (>10⁶ data points). These high-resolution, week-long, time series enabled simultaneous evaluation of ultradian rhythms as well as fractal organization according to six different analytical methods that included Power Spectrum, Enright, Empirical Mode Decomposition, Wavelet, and Detrended Fluctuation analyses. Time series analyses showed that all birds exhibit circadian rhythms. Although interindividual differences were detected, animals presented ultradian behavioral rhythms of 12, 8, 6, 4.8, 4 h and/or lower and, irrespective of visual isolation, synchronization between these ultradian rhythms was observed. Moreover, all birds presented similar overall fractal dynamics (for scales ∼30 s to >4.4 h). This is the first demonstration that avian behavior presents fractal organization that predominates at shorter time scales and coexists with synchronized ultradian rhythms. This chronobiological pattern is advantageous for keeping the organism’s endogenous rhythms in phase with internal and environmental periodicities, notably the feeding, light-dark and sleep-wake cycles.

Power considerations for the application of detrended fluctuation analysis in gait variability studies

The assessment of gait variability using stochastic signal processing techniques such as detrended fluctuation analysis (DFA) has been shown to be a sensitive tool for evaluation of gait alterations due to aging and neuromuscular disease. However, previous studies have suggested that the application of DFA requires relatively long recordings (600 strides), which is difficult when working with clinical populations or older adults. In this paper we propose a model for predicting DFA variance in experimental data and conduct a Monte Carlo simulation to estimate the sample size and number of trials required to detect a change in DFA scaling exponent. We illustrate the model in a simulation to detect a difference of 0.1 (medium effect) between two groups of subjects when using short gait time series (100 to 200 strides) in the context of between- and within-subject designs. We assumed that the variance of DFA scaling exponent arises due to individual differences, time series length, and experimental error. Results showed that sample sizes required to achieve acceptable power of 80% are practically feasible, especially when using within-subject designs. For example, to detect a group difference in the DFA scaling exponent of 0.1, it would require either 25 subjects and 2 trials per subject or 12 subjects and 4 trials per subject using a within-subject design. We then compared plausibility of such power predictions to the empirically observed power from a study that required subjects to synchronize with a persistent fractal metronome. The results showed that the model adequately predicted the empirical pattern of results. Our power simulations could be used in conjunction with previous design guidelines in the literature when planning new gait variability experiments.

More Severe Insomnia Complaints in People with Stronger Long-Range Temporal Correlations in Wake Resting-State EEG

The complaints of people suffering from Insomnia Disorder (ID) concern both sleep and daytime functioning. However, little is known about wake brain temporal dynamics in people with ID. We therefore assessed possible alterations in Long-Range Temporal Correlations (LRTC) in the amplitude fluctuations of band-filtered oscillations in electroencephalography (EEG) recordings. We investigated whether LRTC differ between cases with ID and matched controls. Within both groups, we moreover investigated whether individual differences in subjective insomnia complaints are associated with LRTC. Resting-state high-density EEG (256-channel) was recorded in 52 participants with ID and 43 age- and sex-matched controls, during Eyes Open (EO) and Eyes Closed (EC). Detrended fluctuation analysis was applied to the amplitude envelope of band-filtered EEG oscillations (theta, alpha, sigma, beta-1, beta-2) to obtain the Hurst exponents (H), as measures of LRTC. Participants rated their subjective insomnia complaints using the Insomnia Severity Index (ISI). Through general linear models, we evaluated whether H, aggregated across electrodes and frequencies, differed between cases and controls, or showed within-group associations with individual differences in ISI. Additionally, we characterized the spatio-spectral profiles of group differences and associations using non-parametric statistics. H did not differ between cases with ID and controls in any of the frequency bands, neither during EO nor EC. During EO, however, within-group associations between H and ISI indicated that individuals who experienced worse sleep quality had stronger LRTC. Spatio-spectral profiles indicated that the associations held most prominently for the amplitude fluctuations of parietal theta oscillations within the ID group, and of centro-frontal beta-1 oscillations in controls. While people suffering from insomnia experience substantially worse sleep quality than controls, their brain dynamics express similar strength of LRTC. In each group, however, individuals experiencing worse sleep quality tend to have stronger LRTC during eyes open wakefulness, in a spatio-spectral range specific for each group. Taken together, the findings indicate that subjective insomnia complaints involve distinct dynamical processes in people with ID and controls. The findings are in agreement with recent reports on decreasing LRTC with sleep depth, and with the hypothesis that sleep balances brain excitability.

Detrended fluctuation analysis and the difference between external drifts and intrinsic diffusionlike nonstationarity

Detrended fluctuation analysis (DFA) has been shown to be an effective method to study long-range correlation of nonstationary series. In principle, DFA considers F_{DFA}^{2}(s), the mean of variance around the local polynomial fit in segments with length s, and then estimates the scaling exponent α_{DFA} in F_{DFA}(s)∼s^{α_{DFA}} with varying s. Usually, the methodological studies of DFA focus on its effect on removing the drift due to the external trends. Only few paid attention to nonstationary series without drift, such as fractional Brownian motion (FBM) with nonstationarity due to its intrinsic dynamics. Both of these types of nonstationarity can shift the local mean by drift or diffusion and can be treated as the additive nonstationarity eliminable by the additive decomposition. In this study, we limit our discussion to such additive nonstationarity and furthermore specifically distinguish these two types of nonstationarity, namely the drift and the intrinsic diffusionlike nonstationarity. To understand how DFA works for the intrinsic diffusionlike nonstationarity, we take FBM as the example and seek for the answers to two fundamental questions: (1) what DFA removes from FBM; and (2) why DFA can handle such intrinsic diffusionlike nonstationarity, in contrast to methods only applicable to stationary series such as the fluctuation analysis. A crucial condition, i.e., statistical equivalence among all segments, is proposed and checked in the fluctuation analysis and DFA. As shown, the crucial condition is a natural requirement for the connection between DFA and autocorrelation function. With the help of the crucial condition, our study analytically and numerically demonstrates for the intrinsic diffusionlike nonstationary series that (1) rather than the nonstationarity as thought, DFA actually removes the difference among all segments; (2) the detrended segments fulfill the crucial condition so that the average over segments becomes equivalent to the ensemble average over realizations. These answers are also true for series with a drift. Thus, we provide a unified perspective to refresh the understanding of how DFA works on nonstationarity and underpin the mathematical ground of DFA.

Time and frequency domain characteristics of detrending-operation-based scaling analysis: Exact DFA and DMA frequency responses

We develop a general framework to study the time and frequency domain characteristics of detrending-operation-based scaling analysis methods, such as detrended fluctuation analysis (DFA) and detrending moving average (DMA) analysis. In this framework, using either the time or frequency domain approach, the frequency responses of detrending operations are calculated analytically. Although the frequency domain approach based on conventional linear analysis techniques is only applicable to linear detrending operations, the time domain approach presented here is applicable to both linear and nonlinear detrending operations. Furthermore, using the relationship between the time and frequency domain representations of the frequency responses, the frequency domain characteristics of nonlinear detrending operations can be obtained. Based on the calculated frequency responses, it is possible to establish a direct connection between the root-mean-square deviation of the detrending-operation-based scaling analysis and the power spectrum for linear stochastic processes. Here, by applying our methods to DFA and DMA, including higher-order cases, exact frequency responses are calculated. In addition, we analytically investigate the cutoff frequencies of DFA and DMA detrending operations and show that these frequencies are not optimally adjusted to coincide with the corresponding time scale.

High resolution, week-long, locomotion time series from Japanese quail in a home-box environment

Temporal and spatial patterns of locomotion reflect both resting periods and the movement from one place to another to satisfy physiological and behavioural needs. Locomotion is studied in diverse areas of biology such as chronobiology and physiology, as well as in biomathematics. Herein, the locomotion of 24 visually-isolated Japanese quails in their home-box environment was recorded continuously over a 6.5 days at a 0.5 s sampling rate. Three time series are presented for each bird: (1) locomotor activity, (2) distance ambulated, and (3) zone of the box where the bird is located. These high resolution, week-long, time series consisting of 1.07×10⁶ data points represent, to our knowledge, a unique data set in animal behavior, and are publically available on FigShare. The data obtained can be used for analyzing dynamic changes of daily or several day locomotion patterns, or for comparison with existing or future data sets or mathematical models across different taxa.

Detrending moving average algorithm: Frequency response and scaling performances

The Detrending Moving Average (DMA) algorithm has been widely used in its several variants for characterizing long-range correlations of random signals and sets (one-dimensional sequences or high-dimensional arrays) over either time or space. In this paper, mainly based on analytical arguments, the scaling performances of the centered DMA, including higher-order ones, are investigated by means of a continuous time approximation and a frequency response approach. Our results are also confirmed by numerical tests. The study is carried out for higher-order DMA operating with moving average polynomials of different degree. In particular, detrending power degree, frequency response, asymptotic scaling, upper limit of the detectable scaling exponent, and finite scale range behavior will be discussed.

Fast algorithm for scaling analysis with higher-order detrending moving average method

Among scaling analysis methods based on the root-mean-square deviation from the estimated trend, it has been demonstrated that centered detrending moving average (DMA) analysis with a simple moving average has good performance when characterizing long-range correlation or fractal scaling behavior. Furthermore, higher-order DMA has also been proposed; it is shown to have better detrending capabilities, removing higher-order polynomial trends than original DMA. However, a straightforward implementation of higher-order DMA requires a very high computational cost, which would prevent practical use of this method. To solve this issue, in this study, we introduce a fast algorithm for higher-order DMA, which consists of two techniques: (1) parallel translation of moving averaging windows by a fixed interval; (2) recurrence formulas for the calculation of summations. Our algorithm can significantly reduce computational cost. Monte Carlo experiments show that the computational time of our algorithm is approximately proportional to the data length, although that of the conventional algorithm is proportional to the square of the data length. The efficiency of our algorithm is also shown by a systematic study of the performance of higher-order DMA, such as the range of detectable scaling exponents and detrending capability for removing polynomial trends. In addition, through the analysis of heart-rate variability time series, we discuss possible applications of higher-order DMA.

Magnitude and sign of long-range correlated time series: Decomposition and surrogate signal generation

We systematically study the scaling properties of the magnitude and sign of the fluctuations in correlated time series, which is a simple and useful approach to distinguish between systems with different dynamical properties but the same linear correlations. First, we decompose artificial long-range power-law linearly correlated time series into magnitude and sign series derived from the consecutive increments in the original series, and we study their correlation properties. We find analytical expressions for the correlation exponent of the sign series as a function of the exponent of the original series. Such expressions are necessary for modeling surrogate time series with desired scaling properties. Next, we study linear and nonlinear correlation properties of series composed as products of independent magnitude and sign series. These surrogate series can be considered as a zero-order approximation to the analysis of the coupling of magnitude and sign in real data, a problem still open in many fields. We find analytical results for the scaling behavior of the composed series as a function of the correlation exponents of the magnitude and sign series used in the composition, and we determine the ranges of magnitude and sign correlation exponents leading to either single scaling or to crossover behaviors. Finally, we obtain how the linear and nonlinear properties of the composed series depend on the correlation exponents of their magnitude and sign series. Based on this information we propose a method to generate surrogate series with controlled correlation exponent and multifractal spectrum.

Establishing a direct connection between detrended fluctuation analysis and Fourier analysis

To understand methodological features of the detrended fluctuation analysis (DFA) using a higher-order polynomial fitting, we establish the direct connection between DFA and Fourier analysis. Based on an exact calculation of the single-frequency response of the DFA, the following facts are shown analytically: (1) in the analysis of stochastic processes exhibiting a power-law scaling of the power spectral density (PSD), S(f)∼f(-β), a higher-order detrending in the DFA has no adverse effect in the estimation of the DFA scaling exponent α, which satisfies the scaling relation α=(β+1)/2; (2) the upper limit of the scaling exponents detectable by the DFA depends on the order of polynomial fit used in the DFA, and is bounded by m+1, where m is the order of the polynomial fit; (3) the relation between the time scale in the DFA and the corresponding frequency in the PSD are distorted depending on both the order of the DFA and the frequency dependence of the PSD. We can improve the scale distortion by introducing the corrected time scale in the DFA corresponding to the inverse of the frequency scale in the PSD. In addition, our analytical approach makes it possible to characterize variants of the DFA using different types of detrending. As an application, properties of the detrending moving average algorithm are discussed.

Mouse activity across time scales: fractal scenarios

In this work we devise a classification of mouse activity patterns based on accelerometer data using Detrended Fluctuation Analysis. We use two characteristic mouse behavioural states as benchmarks in this study: waking in free activity and slow-wave sleep (SWS). In both situations we find roughly the same pattern: for short time intervals we observe high correlation in activity - a typical 1/f complex pattern - while for large time intervals there is anti-correlation. High correlation of short intervals ( to : waking state and to : SWS) is related to highly coordinated muscle activity. In the waking state we associate high correlation both to muscle activity and to mouse stereotyped movements (grooming, waking, etc.). On the other side, the observed anti-correlation over large time scales ( to : waking state and to : SWS) during SWS appears related to a feedback autonomic response. The transition from correlated regime at short scales to an anti-correlated regime at large scales during SWS is given by the respiratory cycle interval, while during the waking state this transition occurs at the time scale corresponding to the duration of the stereotyped mouse movements. Furthermore, we find that the waking state is characterized by longer time scales than SWS and by a softer transition from correlation to anti-correlation. Moreover, this soft transition in the waking state encompass a behavioural time scale window that gives rise to a multifractal pattern. We believe that the observed multifractality in mouse activity is formed by the integration of several stereotyped movements each one with a characteristic time correlation. Finally, we compare scaling properties of body acceleration fluctuation time series during sleep and wake periods for healthy mice. Interestingly, differences between sleep and wake in the scaling exponents are comparable to previous works regarding human heartbeat. Complementarily, the nature of these sleep-wake dynamics could lead to a better understanding of neuroautonomic regulation mechanisms.

Impact of stock market structure on intertrade time and price dynamics

We analyse times between consecutive transactions for a diverse group of stocks registered on the NYSE and NASDAQ markets, and we relate the dynamical properties of the intertrade times with those of the corresponding price fluctuations. We report that market structure strongly impacts the scale-invariant temporal organisation in the transaction timing of stocks, which we have observed to have long-range power-law correlations. Specifically, we find that, compared to NYSE stocks, stocks registered on the NASDAQ exhibit significantly stronger correlations in their transaction timing on scales within a trading day. Further, we find that companies that transfer from the NASDAQ to the NYSE show a reduction in the correlation strength of transaction timing on scales within a trading day, indicating influences of market structure. We also report a persistent decrease in correlation strength of intertrade times with increasing average intertrade time and with corresponding decrease in companies' market capitalization–a trend which is less pronounced for NASDAQ stocks. Surprisingly, we observe that stronger power-law correlations in intertrade times are coupled with stronger power-law correlations in absolute price returns and higher price volatility, suggesting a strong link between the dynamical properties of intertrade times and the corresponding price fluctuations over a broad range of time scales. Comparing the NYSE and NASDAQ markets, we demonstrate that the stronger correlations we find in intertrade times for NASDAQ stocks are associated with stronger correlations in absolute price returns and with higher volatility, suggesting that market structure may affect price behavior through information contained in transaction timing. These findings do not support the hypothesis of universal scaling behavior in stock dynamics that is independent of company characteristics and stock market structure. Further, our results have implications for utilising transaction timing patterns in price prediction and risk management optimization on different stock markets.

Multiscale multifractal analysis of traffic signals to uncover richer structures

Multifractal detrended fluctuation analysis (MF-DFA) is the most popular method to detect multifractal characteristics of considerable signals such as traffic signals. When fractal properties vary from point to point along the series, it leads to multifractality. In this study, we concentrate not only on the fact that traffic signals have multifractal properties, but also that such properties depend on the time scale in which the multifractality is computed. Via the multiscale multifractal analysis (MMA), traffic signals appear to be far more complex and contain more information which MF-DFA cannot explore by using a fixed time scale. More importantly, we do not have to avoid data sets with crossovers or narrow the investigated time scales, which may lead to biased results. Instead, the Hurst surface provides a spectrum of local scaling exponents at different scale ranges, which helps us to easily position these crossovers. Through comparing Hurst surfaces for signals before and after removing periodical trends, we find periodicities of traffic signals are the main source of the crossovers. Besides, the Hurst surface of the weekday series behaves differently from that of the weekend series. Results also show that multifractality of traffic signals is mainly due to both broad probability density function and correlations. The effects of data loss are also discussed, which suggests that we should carefully handle MMA results when the percentage of data loss is larger than 40%.

Assessing the stability of human locomotion: a review of current measures

Falling poses a major threat to the steadily growing population of the elderly in modern-day society. A major challenge in the prevention of falls is the identification of individuals who are at risk of falling owing to an unstable gait. At present, several methods are available for estimating gait stability, each with its own advantages and disadvantages. In this paper, we review the currently available measures: the maximum Lyapunov exponent (λS and λL), the maximum Floquet multiplier, variability measures, long-range correlations, extrapolated centre of mass, stabilizing and destabilizing forces, foot placement estimator, gait sensitivity norm and maximum allowable perturbation. We explain what these measures represent and how they are calculated, and we assess their validity, divided up into construct validity, predictive validity in simple models, convergent validity in experimental studies, and predictive validity in observational studies. We conclude that (i) the validity of variability measures and λS is best supported across all levels, (ii) the maximum Floquet multiplier and λL have good construct validity, but negative predictive validity in models, negative convergent validity and (for λL) negative predictive validity in observational studies, (iii) long-range correlations lack construct validity and predictive validity in models and have negative convergent validity, and (iv) measures derived from perturbation experiments have good construct validity, but data are lacking on convergent validity in experimental studies and predictive validity in observational studies. In closing, directions for future research on dynamic gait stability are discussed.

Segmentation of time series with long-range fractal correlations

Segmentation is a standard method of data analysis to identify change-points dividing a nonstationary time series into homogeneous segments. However, for long-range fractal correlated series, most of the segmentation techniques detect spurious change-points which are simply due to the heterogeneities induced by the correlations and not to real nonstationarities. To avoid this oversegmentation, we present a segmentation algorithm which takes as a reference for homogeneity, instead of a random i.i.d. series, a correlated series modeled by a fractional noise with the same degree of correlations as the series to be segmented. We apply our algorithm to artificial series with long-range correlations and show that it systematically detects only the change-points produced by real nonstationarities and not those created by the correlations of the signal. Further, we apply the method to the sequence of the long arm of human chromosome 21, which is known to have long-range fractal correlations. We obtain only three segments that clearly correspond to the three regions of different G + C composition revealed by means of a multi-scale wavelet plot. Similar results have been obtained when segmenting all human chromosome sequences, showing the existence of previously unknown huge compositional superstructures in the human genome.

Ivanov P, Carpena P. Phase transitions in the first-passage time of scale-invariant correlated processes

A key quantity describing the dynamics of complex systems is the first-passage time (FPT). The statistical properties of FPT depend on the specifics of the underlying system dynamics. We present a unified approach to account for the diversity of statistical behaviors of FPT observed in real-world systems. We find three distinct regimes, separated by two transition points, with fundamentally different behavior for FPT as a function of increasing strength of the correlations in the system dynamics: stretched exponential, power-law, and saturation regimes. In the saturation regime, the average length of FPT diverges proportionally to the system size, with important implications for understanding electronic delocalization in one-dimensional correlated-disordered systems.

Effects of coarse-graining on the scaling behavior of long-range correlated and anti-correlated signals

We investigate how various coarse-graining (signal quantization) methods affect the scaling properties of long-range power-law correlated and anti-correlated signals, quantified by the detrended fluctuation analysis. Specifically, for coarse-graining in the magnitude of a signal, we consider (i) the Floor, (ii) the Symmetry and (iii) the Centro-Symmetry coarse-graining methods. We find that for anti-correlated signals coarse-graining in the magnitude leads to a crossover to random behavior at large scales, and that with increasing the width of the coarse-graining partition interval Δ, this crossover moves to intermediate and small scales. In contrast, the scaling of positively correlated signals is less affected by the coarse-graining, with no observable changes when Δ < 1, while for Δ > 1 a crossover appears at small scales and moves to intermediate and large scales with increasing Δ. For very rough coarse-graining (Δ > 3) based on the Floor and Symmetry methods, the position of the crossover stabilizes, in contrast to the Centro-Symmetry method where the crossover continuously moves across scales and leads to a random behavior at all scales; thus indicating a much stronger effect of the Centro-Symmetry compared to the Floor and the Symmetry method. For coarse-graining in time, where data points are averaged in non-overlapping time windows, we find that the scaling for both anti-correlated and positively correlated signals is practically preserved. The results of our simulations are useful for the correct interpretation of the correlation and scaling properties of symbolic sequences.

Self-similarity of higher-order moving averages

In this work, higher-order moving average polynomials are defined by straightforward generalization of the standard moving average. The self-similarity of the polynomials is analyzed for fractional Brownian series and quantified in terms of the Hurst exponent H by using the detrending moving average method. We prove that the exponent H of the fractional Brownian series and of the detrending moving average variance asymptotically agree for the first-order polynomial. Such asymptotic values are compared with the results obtained by the simulations. The higher-order polynomials correspond to trend estimates at shorter time scales as the degree of the polynomial increases. Importantly, the increase of polynomial degree does not require to change the moving average window. Thus trends at different time scales can be obtained on data sets with the same size. These polynomials could be interesting for those applications relying on trend estimates over different time horizons (financial markets) or on filtering at different frequencies (image analysis).

Multifractal detrending moving-average cross-correlation analysis

There are a number of situations in which several signals are simultaneously recorded in complex systems, which exhibit long-term power-law cross correlations. The multifractal detrended cross-correlation analysis (MFDCCA) approaches can be used to quantify such cross correlations, such as the MFDCCA based on the detrended fluctuation analysis (MFXDFA) method. We develop in this work a class of MFDCCA algorithms based on the detrending moving-average analysis, called MFXDMA. The performances of the proposed MFXDMA algorithms are compared with the MFXDFA method by extensive numerical experiments on pairs of time series generated from bivariate fractional Brownian motions, two-component autoregressive fractionally integrated moving-average processes, and binomial measures, which have theoretical expressions of the multifractal nature. In all cases, the scaling exponents h(xy) extracted from the MFXDMA and MFXDFA algorithms are very close to the theoretical values. For bivariate fractional Brownian motions, the scaling exponent of the cross correlation is independent of the cross-correlation coefficient between two time series, and the MFXDFA and centered MFXDMA algorithms have comparative performances, which outperform the forward and backward MFXDMA algorithms. For two-component autoregressive fractionally integrated moving-average processes, we also find that the MFXDFA and centered MFXDMA algorithms have comparative performances, while the forward and backward MFXDMA algorithms perform slightly worse. For binomial measures, the forward MFXDMA algorithm exhibits the best performance, the centered MFXDMA algorithms performs worst, and the backward MFXDMA algorithm outperforms the MFXDFA algorithm when the moment order q<0 and underperforms when q>0. We apply these algorithms to the return time series of two stock market indexes and to their volatilities. For the returns, the centered MFXDMA algorithm gives the best estimates of h(xy)(q) since its h(xy)(2) is closest to 0.5, as expected, and the MFXDFA algorithm has the second best performance. For the volatilities, the forward and backward MFXDMA algorithms give similar results, while the centered MFXDMA and the MFXDFA algorithms fail to extract rational multifractal nature.

Fluctuations and determinism of respiratory impedance in asthma and chronic obstructive pulmonary disease

Asthma and COPD are chronic respiratory diseases that fluctuate widely with regard to clinical symptoms and airway obstruction, complicating treatment and prediction of exacerbations. Time series of respiratory impedance obtained by the forced oscillation technique are a convenient tool to study the respiratory system with high temporal resolution. In previous studies it was suggested that power-law-like fluctuations exist also in the healthy lung and that respiratory system impedance variability differs in asthma. In this study we elucidate such differences in a population of well-characterized subjects with asthma (n = 13, GINA 1+2), COPD (n = 12, GOLD I+II), and controls (n = 10) from time series at single frequency (12 min, f = 8 Hz). Maximum likelihood estimation did not rule out power-law behavior, accepting the null hypothesis in 17/35 cases (P > 0.05) and with significant differences in exponents for COPD (P < 0.03). Detrended fluctuation analysis exhibited scaling exponents close to 0.5, indicating few correlations, with no differences between groups (P > 0.14). In a second approach, we considered asthma and COPD as dynamic diseases, corresponding to changes of unknown parameters in a deterministic system. The similarity in shape between the combined probability distributions of normalized resistance and reactance was quantified by Wasserstein distances and reliably distinguished the two diseases (cross-validated predictive accuracy 0.80; sensitivity 0.83, specificity 0.77 for COPD). Wasserstein distances between 3+3 dimensional phase space reconstructions resulted in marginally better classification (accuracy 0.84, sensitivity 0.83, specificity 0.85). These latter findings suggest that the dynamics of respiratory impedance contain valuable information for the diagnosis and monitoring of patients with asthma and COPD, whereas the value of the stochastic approach is not clear presently.

Effect of significant data loss on identifying electric signals that precede rupture estimated by detrended fluctuation analysis in natural time

Electric field variations that appear before rupture have been recently studied by employing the detrended fluctuation analysis (DFA) to quantify their long-range temporal correlations. These studies revealed that seismic electric signal (SES) activities exhibit a scale invariant feature with an exponent αDFA≈1 over all scales investigated (around five orders of magnitude). Here, we study what happens upon significant data loss, which is a question of primary practical importance, and show that the DFA applied to the natural time representation of the remaining data still reveals for SES activities an exponent close to 1.0, which markedly exceeds the exponent found in artificial (man-made) noises. This enables the identification of a SES activity with probability of 75% even after a significant (70%) data loss. The probability increases to 90% or larger for 50% data loss.

Nonextensivity and natural time: The case of seismicity

Nonextensive statistical mechanics, pioneered by Tsallis, has recently achieved a generalization of the Gutenberg-Richter law for earthquakes. This remarkable generalization is combined here with natural time analysis, which enables the distinction of two origins of self-similarity, i.e., the process' memory and the process' increments infinite variance. By using also detrended fluctuation analysis for the detection of long-range temporal correlations, we demonstrate the existence of both temporal and magnitude correlations in real seismic data of California and Japan. Natural time analysis reveals that the nonextensivity parameter q , in contrast to some published claims, cannot be considered as a measure of temporal organization, but the Tsallis formulation does achieve a satisfactory description of real seismic data for Japan for q=1.66 when supplemented by long-range temporal correlations.