Phase transitions in the first-passage time of scale-invariant correlated processes

On the Autocorrelation Function of 1/f Noises

The outputs of many real-world complex dynamical systems are time series characterized by power-law correlations and fractal properties. The first proposed model for such time series comprised fractional Gaussian noise (fGn), defined by an autocorrelation function C(k) with asymptotic power-law behavior, and a complicated power spectrum S(f) with power-law behavior in the small frequency region linked to the power-law behavior of C(k). This connection suggested the use of simpler models for power-law correlated time series: time series with power spectra of the form S(f)∼1/fβ, i.e., with power-law behavior in the entire frequency range and not only near f=0 as fGn. This type of time series, known as 1/fβ noises or simply 1/f noises, can be simulated using the Fourier filtering method and has become a standard model for power-law correlated time series with a wide range of applications. However, despite the simplicity of the power spectrum of 1/fβ noises and of the known relationship between the power-law exponents of S(f) and C(k), to our knowledge, an explicit expression of C(k) for 1/fβ noises has not been previously published. In this work, we provide an analytical derivation of C(k) for 1/fβ noises, and we show the validity of our results by comparing them with the numerical results obtained from synthetically generated 1/fβ time series. We also present two applications of our results: First, we compare the autocorrelation functions of fGn and 1/fβ noises that, despite exhibiting similar power-law behavior, present some clear differences for anticorrelated cases. Secondly, we obtain the exact analytical expression of the Fluctuation Analysis algorithm when applied to 1/fβ noises.

On the Validity of Detrended Fluctuation Analysis at Short Scales

Detrended Fluctuation Analysis (DFA) has become a standard method to quantify the correlations and scaling properties of real-world complex time series. For a given scale ℓ of observation, DFA provides the function F(ℓ), which quantifies the fluctuations of the time series around the local trend, which is substracted (detrended). If the time series exhibits scaling properties, then F(ℓ)∼ℓα asymptotically, and the scaling exponent α is typically estimated as the slope of a linear fitting in the logF(ℓ) vs. log(ℓ) plot. In this way, α measures the strength of the correlations and characterizes the underlying dynamical system. However, in many cases, and especially in a physiological time series, the scaling behavior is different at short and long scales, resulting in logF(ℓ) vs. log(ℓ) plots with two different slopes, α1 at short scales and α2 at large scales of observation. These two exponents are usually associated with the existence of different mechanisms that work at distinct time scales acting on the underlying dynamical system. Here, however, and since the power-law behavior of F(ℓ) is asymptotic, we question the use of α1 to characterize the correlations at short scales. To this end, we show first that, even for artificial time series with perfect scaling, i.e., with a single exponent α valid for all scales, DFA provides an α1 value that systematically overestimates the true exponent α. In addition, second, when artificial time series with two different scaling exponents at short and large scales are considered, the α1 value provided by DFA not only can severely underestimate or overestimate the true short-scale exponent, but also depends on the value of the large scale exponent. This behavior should prevent the use of α1 to describe the scaling properties at short scales: if DFA is used in two time series with the same scaling behavior at short scales but very different scaling properties at large scales, very different values of α1 will be obtained, although the short scale properties are identical. These artifacts may lead to wrong interpretations when analyzing real-world time series: on the one hand, for time series with truly perfect scaling, the spurious value of α1 could lead to wrongly thinking that there exists some specific mechanism acting only at short time scales in the dynamical system. On the other hand, for time series with true different scaling at short and large scales, the incorrect α1 value would not characterize properly the short scale behavior of the dynamical system.

Transforming Gaussian correlations. Applications to generating long-range power-law correlated time series with arbitrary distribution

The observable outputs of many complex dynamical systems consist of time series exhibiting autocorrelation functions of great diversity of behaviors, including long-range power-law autocorrelation functions, as a signature of interactions operating at many temporal or spatial scales. Often, numerical algorithms able to generate correlated noises reproducing the properties of real time series are used to study and characterize such systems. Typically, many of those algorithms produce a Gaussian time series. However, the real, experimentally observed time series are often non-Gaussian and may follow distributions with a diversity of behaviors concerning the support, the symmetry, or the tail properties. It is always possible to transform a correlated Gaussian time series into a time series with a different marginal distribution, but the question is how this transformation affects the behavior of the autocorrelation function. Here, we study analytically and numerically how the Pearson's correlation of two Gaussian variables changes when the variables are transformed to follow a different destination distribution. Specifically, we consider bounded and unbounded distributions, symmetric and non-symmetric distributions, and distributions with different tail properties from decays faster than exponential to heavy-tail cases including power laws, and we find how these properties affect the correlation of the final variables. We extend these results to a Gaussian time series, which are transformed to have a different marginal distribution, and show how the autocorrelation function of the final non-Gaussian time series depends on the Gaussian correlations and on the final marginal distribution. As an application of our results, we propose how to generalize standard algorithms producing a Gaussian power-law correlated time series in order to create a synthetic time series with an arbitrary distribution and controlled power-law correlations. Finally, we show a practical example of this algorithm by generating time series mimicking the marginal distribution and the power-law tail of the autocorrelation function of real time series: the absolute returns of stock prices.

Impact of global structure on diffusive exploration of organelle networks

We investigate diffusive search on planar networks, motivated by tubular organelle networks in cell biology that contain molecules searching for reaction partners and binding sites. Exact calculation of the diffusive mean first-passage time on a spatial network is used to characterize the typical search time as a function of network connectivity. We find that global structural properties — the total edge length and number of loops — are sufficient to largely determine network exploration times for a variety of both synthetic planar networks and organelle morphologies extracted from living cells. For synthetic networks on a lattice, we predict the search time dependence on these global structural parameters by connecting with percolation theory, providing a bridge from irregular real-world networks to a simpler physical model. The dependence of search time on global network structural properties suggests that network architecture can be designed for efficient search without controlling the precise arrangement of connections. Specifically, increasing the number of loops substantially decreases search times, pointing to a potential physical mechanism for regulating reaction rates within organelle network structures.

Connection of the nearest-neighbor spacing distribution and the local box-counting dimension for discrete sets

In a recent work [Phys. Rev. E 97, 030202(R) (2018)10.1103/PhysRevE.97.030202], Sakhr and Nieminen (SN) solved a hypothesis formulated two decades ago, according to which the local box-counting dimension D_{box}(r) of a given energy spectrum, or more generally of a discrete set, should exclusively depend on the nearest-neighbor spacing distribution P(s) of the spectrum (set). SN found analytically this dependence, which led them to obtain closed formulas for the local box-counting dimension of Poisson spectra and of spectra belonging to Gaussian orthogonal, unitary, and symplectic ensembles. Here, first, we present a different derivation of the equation establishing the connection of D_{box}(r) and P(s) using the concept of surrogate spectrum. Although our equation is formally different to the SN result, we prove that both are equivalent. Second, we apply our equation to solve the inverse problem of determining the functional form of P(s) for spectra with real fractal structure and constant box-counting dimension D_{box}, and we find that P(s) should behave as a power-law of the spacing, with an exponent given by -(1+D_{box}). Finally, we present four applications or consequences of this last result: First, we provide a simple algorithm able to generate random fractal spectra with prescribed and constant D_{box}. Second, we calculate D_{box} for the sets given by the zeros of fractional Brownian motions, whose P(s) is known to have a power-law tail. Third, we also study D_{box}(r) for the zeros of fractional Gaussian noises, whose P(s) in known to present fat (but not power-law) tails, and that could be misinterpreted as real fractals. And finally, we present the calculation of D_{box} for the spectra of Fibonacci Hamiltonians, known to have fractal properties, simply by fitting their corresponding P(s) to a power-law without the need of applying a box-counting algorithm.

Identifying the Occurrence Time of the Deadly Mexico M8.2 Earthquake on 7 September 2017

It has been shown that some dynamic features hidden in the time series of complex systems can be unveiled if we analyze them in a time domain termed natural time. In this analysis, we can identify when a system approaches a critical point (dynamic phase transition). Here, based on natural time analysis, which enables the introduction of an order parameter for seismicity, we discuss a procedure through which we could achieve the identification of the occurrence time of the M8.2 earthquake that occurred on 7 September 2017 in Mexico in Chiapas region, which is the largest magnitude event recorded in Mexico in more than a century. In particular, we first investigated the order parameter fluctuations of seismicity in the entire Mexico and found that, during an almost 30-year period, i.e., from 1 January 1988 until the M8.2 earthquake occurrence, they were minimized around 27 July 2017. From this date, we started computing the variance of seismicity in Chiapas region and found that it approached the critical value 0.070 on 6 September 2017, almost one day before this M8.2 earthquake occurrence.

Correlations in magnitude series to assess nonlinearities: Application to multifractal models and heartbeat fluctuations

The correlation properties of the magnitude of a time series are associated with nonlinear and multifractal properties and have been applied in a great variety of fields. Here we have obtained the analytical expression of the autocorrelation of the magnitude series (C_{|x|}) of a linear Gaussian noise as a function of its autocorrelation (C_{x}). For both, models and natural signals, the deviation of C_{|x|} from its expectation in linear Gaussian noises can be used as an index of nonlinearity that can be applied to relatively short records and does not require the presence of scaling in the time series under study. In a model of artificial Gaussian multifractal signal we use this approach to analyze the relation between nonlinearity and multifractallity and show that the former implies the latter but the reverse is not true. We also apply this approach to analyze experimental data: heart-beat records during rest and moderate exercise. For each individual subject, we observe higher nonlinearities during rest. This behavior is also achieved on average for the analyzed set of 10 semiprofessional soccer players. This result agrees with the fact that other measures of complexity are dramatically reduced during exercise and can shed light on its relationship with the withdrawal of parasympathetic tone and/or the activation of sympathetic activity during physical activity.

Spurious Results of Fluctuation Analysis Techniques in Magnitude and Sign Correlations

Fluctuation Analysis (FA) and specially Detrended Fluctuation Analysis (DFA) are techniques commonly used to quantify correlations and scaling properties of complex time series such as the observable outputs of great variety of dynamical systems, from Economics to Physiology. Often, such correlated time series are analyzed using the magnitude and sign decomposition, i.e., by using FA or DFA to study separately the sign and the magnitude series obtained from the original signal. This approach allows for distinguishing between systems with the same linear correlations but different dynamical properties. However, here we present analytical and numerical evidence showing that FA and DFA can lead to spurious results when applied to sign and magnitude series obtained from power-law correlated time series of fractional Gaussian noise (fGn) type. Specifically, we show that: (i) the autocorrelation functions of the sign and magnitude series obtained from fGns are always power-laws; However, (ii) when the sign series presents power-law anticorrelations, FA and DFA wrongly interpret the sign series as purely uncorrelated; Similarly, (iii) when analyzing power-law correlated magnitude (or volatility) series, FA and DFA fail to retrieve the real scaling properties, and identify the magnitude series as purely uncorrelated noise; Finally, (iv) using the relationship between FA and DFA and the autocorrelation function of the time series, we explain analytically the reason for the FA and DFA spurious results, which turns out to be an intrinsic property of both techniques when applied to sign and magnitude series.

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.

Functional significance of complex fluctuations in brain activity: from resting state to cognitive neuroscience

Behavioral studies have shown that human cognition is characterized by properties such as temporal scale invariance, heavy-tailed non-Gaussian distributions, and long-range correlations at long time scales, suggesting models of how (non observable) components of cognition interact. On the other hand, results from functional neuroimaging studies show that complex scaling and intermittency may be generic spatio-temporal properties of the brain at rest. Somehow surprisingly, though, hardly ever have the neural correlates of cognition been studied at time scales comparable to those at which cognition shows scaling properties. Here, we analyze the meanings of scaling properties and the significance of their task-related modulations for cognitive neuroscience. It is proposed that cognitive processes can be framed in terms of complex generic properties of brain activity at rest and, ultimately, of functional equations, limiting distributions, symmetries, and possibly universality classes characterizing them.

Time scales in cognitive neuroscience

Cognitive neuroscience boils down to describing the ways in which cognitive function results from brain activity. In turn, brain activity shows complex fluctuations, with structure at many spatio-temporal scales. Exactly how cognitive function inherits the physical dimensions of neural activity, though, is highly non-trivial, and so are generally the corresponding dimensions of cognitive phenomena. As for any physical phenomenon, when studying cognitive function, the first conceptual step should be that of establishing its dimensions. Here, we provide a systematic presentation of the temporal aspects of task-related brain activity, from the smallest scale of the brain imaging technique's resolution, to the observation time of a given experiment, through the characteristic time scales of the process under study. We first review some standard assumptions on the temporal scales of cognitive function. In spite of their general use, these assumptions hold true to a high degree of approximation for many cognitive (viz. fast perceptual) processes, but have their limitations for other ones (e.g., thinking or reasoning). We define in a rigorous way the temporal quantifiers of cognition at all scales, and illustrate how they qualitatively vary as a function of the properties of the cognitive process under study. We propose that each phenomenon should be approached with its own set of theoretical, methodological and analytical tools. In particular, we show that when treating cognitive processes such as thinking or reasoning, complex properties of ongoing brain activity, which can be drastically simplified when considering fast (e.g., perceptual) processes, start playing a major role, and not only characterize the temporal properties of task-related brain activity, but also determine the conditions for proper observation of the phenomena. Finally, some implications on the design of experiments, data analyses, and the choice of recording parameters are discussed.

Optimal and suboptimal networks for efficient navigation measured by mean-first passage time of random walks

For a random walk on a network, the mean first-passage time from a node i to another node j chosen stochastically, according to the equilibrium distribution of Markov chain representing the random walk is called the Kemeny constant, which is closely related to the navigability on the network. Thus, the configuration of a network that provides optimal or suboptimal navigation efficiency is a question of interest. It has been proved that complete graphs have the exact minimum Kemeny constant over all graphs. In this paper, by using another method we first prove that complete graphs are the optimal networks with a minimum Kemeny constant, which grows linearly with the network size. Then, we study the Kemeny constant of a class of sparse networks that exhibit remarkable scale-free and fractal features as observed in many real-life networks, which cannot be described by complete graphs. To this end, we determine the closed-form solutions to all eigenvalues and their degeneracies of the networks. Employing these eigenvalues, we derive the exact solution to the Kemeny constant, which also behaves linearly with the network size for some particular cases of networks. We further use the eigenvalue spectra to determine the number of spanning trees in the networks under consideration, which is in complete agreement with previously reported results. Our work demonstrates that scale-free and fractal properties are favorable for efficient navigation, which could be considered when designing networks with high navigation efficiency.