Modelling of nonlinear dynamic systems : using surrogate data methods

Conradie, Tanja (2000-12)

Thesis (MSc)--Stellenbosch University, 2000.

Thesis

ENGLISH ABSTRACT: This study examined nonlinear modelling techniques as applied to dynamic systems, paying specific attention to the Method of Surrogate Data and its possibilities. Within the field of nonlinear modelling, we examined the following areas of study: attractor reconstruction, general model building techniques, cost functions, description length, and a specific modelling methodology. The Method of Surrogate Data was initially applied in a more conventional application, i.e. testing a time series for nonlinear, dynamic structure. Thereafter, it was used in a less conventional application; i.e. testing the residual vectors of a nonlinear model for membership of identically and independently distributed (i.i.d) noise. The importance of the initial surrogate analysis of a time series (determining whether the apparent structure of the time series is due to nonlinear, possibly chaotic behaviour) was illustrated. This study confrrmed that omitting this crucial step could lead to a flawed conclusion. If evidence of nonlinear structure in the time series was identified, a radial basis model was constructed, using sophisticated software based on a specific modelling methodology. The model is an iterative algorithm using minimum description length as the stop criterion. The residual vectors of the models generated by the algorithm, were tested for membership of the dynamic class described as i.i.d noise. The results of this surrogate analysis illustrated that, as the model captures more of the underlying dynamics of the system (description length decreases), the residual vector resembles Li.d noise. It also verified that the minimum description length criterion leads to models that capture the underlying dynamics of the time series, with the residual vector resembling Li.d noise. In the case of the "worst" model (largest description length), the residual vector could be distinguished from Li.d noise, confirming that it is not the "best" model. The residual vector of the "best" model (smallest description length), resembled Li.d noise, confirming that the minimum description length criterion selects a model that captures the underlying dynamics of the time series. These applications were illustrated through analysis and modelling of three time series: a time series generated by the Lorenz equations, a time series generated by electroencephalograhpic signal (EEG), and a series representing the percentage change in the daily closing price of the S&P500 index.

AFRIKAANSE OPSOMMING: In hierdie studie ondersoek ons nie-lineere modelleringstegnieke soos toegepas op dinamiese sisteme. Spesifieke aandag word geskenk aan die Metode van Surrogaat Data en die moontlikhede van hierdie metode. Binne die veld van nie-lineere modellering het ons die volgende terreine ondersoek: attraktor rekonstruksie, algemene modelleringstegnieke, kostefunksies, beskrywingslengte, en 'n spesifieke modelleringsalgoritme. Die Metode and Surrogaat Data is eerstens vir 'n meer algemene toepassing gebruik wat die gekose tydsreeks vir aanduidings van nie-lineere, dimanise struktuur toets. Tweedens, is dit vir 'n minder algemene toepassing gebruik wat die residuvektore van 'n nie-lineere model toets vir lidmaatskap van identiese en onafhanlike verspreide geraas. Die studie illustreer die noodsaaklikheid van die aanvanklike surrogaat analise van 'n tydsreeks, wat bepaal of die struktuur van die tydsreeks toegeskryf kan word aan nie-lineere, dalk chaotiese gedrag. Ons bevesting dat die weglating van hierdie analise tot foutiewelike resultate kan lei. Indien bewyse van nie-lineere gedrag in die tydsreeks gevind is, is 'n model van radiale basisfunksies gebou, deur gebruik te maak van gesofistikeerde programmatuur gebaseer op 'n spesifieke modelleringsmetodologie. Dit is 'n iteratiewe algoritme wat minimum beskrywingslengte as die termineringsmaatstaf gebruik. Die model se residuvektore is getoets vir lidmaatskap van die dinamiese klas wat as identiese en onafhanlike verspreide geraas bekend staan. Die studie verifieer dat die minimum beskrywingslengte as termineringsmaatstaf weI aanleiding tot modelle wat die onderliggende dinamika van die tydsreeks vasvang, met die ooreenstemmende residuvektor wat nie onderskei kan word van indentiese en onafhanklike verspreide geraas nie. In die geval van die "swakste" model (grootse beskrywingslengte), het die surrogaat analise gefaal omrede die residuvektor van indentiese en onafhanklike verspreide geraas onderskei kon word. Die residuvektor van die "beste" model (kleinste beskrywingslengte), kon nie van indentiese en onafhanklike verspreide geraas onderskei word nie en bevestig ons aanname. Hierdie toepassings is aan die hand van drie tydsreekse geillustreer: 'n tydsreeks wat deur die Lorenz vergelykings gegenereer is, 'n tydsreeks wat 'n elektroenkefalogram voorstel en derdens, 'n tydsreeks wat die persentasie verandering van die S&P500 indeks se daaglikse sluitingsprys voorstel.

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