【阅读笔记】Dynamical time series analytics

前几天去厦门开会（DDAP10），全英文演讲加之大家口音都略重，说实话听演讲主要靠看ppt，摘出一篇听懂的写篇博客纪念一下吧。

11.2 Session-A 13:30-18:00 WICC G201

Time	Speaker	No.	Title
14:30-15:00	Wei Lin	ST-07	Dynamical time series analytics: From networks construction to dynamics prediction

主要讲了他的两个工作，一个是重构的工作，一个是预测的工作，分别发表在PRE和PNAS上。

第一篇工作

Detection of time delays and directional interactions based on time series from complex dynamical systems

ABSTRACT

Data-based and model-free accurate identification of intrinsic（固有） time delays and directional interactions.

METHOD

Given a time series $x(t)$, one forms a manifold（流形） $M_X\in R^n$ based on delay coordinate embedding: $X(t)=[x(t),x(t-\delta t),...,x(t-(n-1)\delta t)]$, where $n$ is the embedding dimension and $\delta t$ is a proper time lag.

CME method:

Say we are given time series $x(t)$ and $y(t)$ as well as a set of possible time delays: Γ = { τ 1 , τ 2 , … , τ m } \Gamma = \{\tau_1,\tau_2, … ,\tau_m\} Γ={ τ1​,τ2​,…,τm​}. For each candidate time delay ${\tau }_i$, we let $z(t)=x(t-{\tau }_i)$ and form the manifolds $M_Y$ and $M_Z$ with $n_y$ and $n_z$ being the respective embedding dimensions. For each point $Y(\hat{t})\in M_Y$ , we find $K$ nearest neighbors $Y(t_j)(j=1,2,\dots ,K)$, which are mapped to the mutual neighbors $Z(t_j)\in M_Z(j=1,2,\dots ,K)$ by the cross map. We then estimate $Z(t)$ by averaging these mutual neighbors through $\hat{Z}(\hat{t})|M_Y=(1/K){\sum }_{j=1}^{K}Z(t_j)$. Finally, we define the CME score as

s ( τ ) = ( n Z ) − 1 t r a c e ( Σ Z ^ − 1 c o v ( Z ^ ,