Optimal time delay embedding for nonlinear time series modeling

Michael Small

Home/Archive/arXiv

arXiv · nlin/0312011

Optimal time delay embedding for nonlinear time series modeling

Michael Small

View original source ↗Read source document ↗Export metadata ↓

Abstract

When building linear or nonlinear models one is faced with the problem of selecting the best set of variable with which to predict the future dynamics. In nonlinear time series analysis the problem is to select the correct time delays in the time delay embedding. We propose a new technique which can quantify the suitability of a particular set of variables and we suggests a computationally efficient scheme to determine the best non-uniform time delay embedding for modeling of time series. Our results are based on the assumption that, in general, the variables which give the best local constant model will also give the best nonlinear model. In a wide variety of experimental and simulated systems we find that this method produces dynamics that are more realistic and predictions that are more accurate than standard uniform embeddings.

Explore related subjects

nlin.CD

Keep this discovery

Explore connections, maps & timelines

BibTeX RIS

Michael Small. 2003-12-05. Optimal time delay embedding for nonlinear time series modeling. https://arxiv.org/abs/nlin/0312011

Cite the original work for its findings. Save a collection to share your selection of sources.

KEEP EXPLORING

Related papers

arXiv2026

Linear Response Predicts Cusp-Pair Births in Networks with a Localized Cubic

Linear response is cheap to measure; the bistability boundaries it organizes are not. For a passive network with one localized cubic, the driving-point receptance $G$ fixes the period-one cusp set at fundamental-harmonic order: cusps lie on a fixed phase contour of $G$, a tangency of that contour under parameter variation creates a pair, and its curvature separates a gap opening from an isolated loop. For a two-mode absorber the linear prediction locates a benchmark birth coupling to $0.3\%$, and to $0.03\%$ once a third-harmonic correction of scale $|G(3\Omega)/G(\Omega)|$ is included.

nlin.CD↗

arXiv2026

Dynamics Creation through Neural Dynamical Transfer Learning

Data-driven machine learning has established a robust foundation for reconstructing nonlinear dynamical systems from observations, primarily for the purposes of forecasting and control. However, most existing efforts focus on recovering specific observed dynamics rather than the generative synthesis of new ones. Inspired by image fusion and style transfer, we introduce a neural network framework termed Neural Dynamical Transfer Learning (NDTL) to create new systems with prescribed dynamics from pairs of parent nonlinear dynamical systems. By computing fundamental dynamical signatures, including the intrinsic dimension, the Kaplan-Yorke dimension, the invariant measure statistics, and the Lyapunov spectrum, we demonstrate that NDTL preserves key features inherited from the parent models while simultaneously generating novel dynamics. Beyond these validation examples, NDTL induces a criterion for dynamics classification, creates stable oscillatory coexistence in the Hastings-Powell food chain model, produces interpretable epidemiological models, and provides a chaotic source for image encryption.

nlin.CD↗

arXiv2026

The Spectral Skeleton of Chaos: Koopman Wave Packets on Poincar\'e Sections

A Poincar\'e section replaces a flow by a return map, but for a chaotic system this map is usually known only from sampled crossings. We show that coarse transport can be read directly from Koopman spectral data, without fitting the map. Measure-preserving EDMD retains the isometric structure; riggedDMD then approximates spectral measures and constructs finite regularized wave packets. Packet phase supplies a finite-resolution transport coordinate; low modulus marks a singular skeleton where the phase becomes ill-conditioned. We demonstrate the idea on the R\"ossler system, a 32-mode Kuramoto--Sivashinsky Galerkin system, and the forced Duffing oscillator. The packets yield coarse symbolic models on sections ranging from an almost one-dimensional curve to a visibly thick set. Their graphs organize observed low-period orbits and guide targeted searches for others. In Duffing Regime~II, a seven-region rule accounts for $91\%$--$94\%$ of filtered one-step transitions, while failures in the lowest retained modulus decile occur at $5.08$--$5.20$ times the overall rate. The packets are not Koopman eigenfunctions, nor are the regions exact Markov partitions. Together these computations show how spectral information beyond isolated eigenpairs can expose chaotic transport directly from trajectories.

nlin.CD↗