Assessing time series irreversibility through micro-scale trends

Revisiting the Characterization of Resting Brain Dynamics with the Permutation Jensen-Shannon Distance

Taking into account the complexity of the human brain dynamics, the appropriate characterization of any brain state is a challenge not easily met. Actually, even the discrimination of simple behavioral tasks, such as resting with eyes closed or eyes open, represents an intricate problem and many efforts have been and are being made to overcome it. In this work, the aforementioned issue is carefully addressed by performing multiscale analyses of electroencephalogram records with the permutation Jensen-Shannon distance. The influence that linear and nonlinear temporal correlations have on the discrimination is unveiled. Results obtained lead to significant conclusions that help to achieve an improved distinction between these resting brain states.

Permutation time irreversibility in sleep electroencephalograms: Dependence on sleep stage and the effect of equal values

Time irreversibility (TIR) refers to the manifestation of nonequilibrium brain activity influenced by various physiological conditions; however, the influence of sleep on electroencephalogram (EEG) TIR has not been sufficiently investigated. In this paper, a comprehensive study on permutation TIR (pTIR) of EEG data under different sleep stages is conducted. Two basic ordinal patterns (i.e., the original and amplitude permutations) are distinguished to simplify sleep EEGs, and then the influences of equal values and forbidden permutation on pTIR are elucidated. To detect pTIR of brain electric signals, five groups of EEGs in the awake, stages I, II, III, and rapid eye movement (REM) stages are collected from the public Polysomnographic Database in PhysioNet. Test results suggested that the pTIR of sleep EEGs significantly decreases as the sleep stage increases (p<0.001), with the awake and REM EEGs demonstrating greater differences than others. Comparative analysis and numerical simulations support the importance of equal values. Distribution of equal states, a simple quantification of amplitude fluctuations, significantly increases with the sleep stage (p<0.001). If these equalities are ignored, incorrect probabilistic differences may arise in the forward-backward and symmetric permutations of TIR, leading to contradictory results; moreover, the ascending and descending orders for symmetric permutations also lead different outcomes in sleep EEGs. Overall, pTIR in sleep EEGs contributes to our understanding of quantitative TIR and classification of sleep EEGs.

Effect of nonlinearity and persistence on multiscale irreversibility, non-stationarity, and complexity of time series-Case of data generated by the modified Langevin model

Stochastic models of a time series can take the form of a nonlinear equation and have a built-in memory mechanism. Generated time series can be characterized by measures of certain features, e.g., non-stationarity, irreversibility, irregularity, multifractality, and short/long-tail distribution. Knowledge of the relationship between the form of the model and features of data seems to be the key to model time series. The paper presents a systematic analysis of the multiscale behavior of selected measures of irreversibility, irregularity, and non-stationarity vs degree of nonlinearity and persistence. As a time series generator, the modified nonlinear Langevin equation with built-in persistence is adopted. The modes of nonlinearity are determined by one parameter and do not change the half-Gaussian form of the marginal distribution function. The expected direct dependencies (sometimes non-trivial) were found and explained using the simplicity of the model. It has been shown that the change in nonlinearity, although subjected to a strong constraint (the same marginal distribution), causes significant changes in the tested markers of irregularity and non-stationarity. However, a synergy of non-linearity and persistence is needed to induce greater changes in irreversibility.

Markov-modulated model for landing flow dynamics: An ordinal analysis validation

Air transportation is a complex system characterized by a plethora of interactions at multiple temporal and spatial scales; as a consequence, even simple dynamics like sequencing aircraft for landing can lead to the appearance of emergent behaviors, which are both difficult to control and detrimental to operational efficiency. We propose a model, based on a modulated Markov jitter, to represent ordinal pattern properties of real landing operations in European airports. The parameters of the model are tuned by minimizing the distance between the probability distributions of ordinal patterns generated by the real and synthetic sequences, as estimated by the Permutation Jensen-Shannon Distance. We show that the correlation between consecutive hours in the landing flow changes between airports and that it can be interpreted as a metric of efficiency. We further compare the dynamics pre and post COVID-19, showing how this has changed beyond what can be attributed to a simple reduction of traffic. We finally draw some operational conclusions and discuss the applicability of these findings in a real operational environment.

Algorithmic Approaches for Assessing Irreversibility in Time Series: Review and Comparison

The assessment of time irreversibility, i.e., of the lack of invariance of the statistical properties of a system under the operation of time reversal, is a topic steadily gaining attention within the research community. Irreversible dynamics have been found in many real-world systems, with alterations being connected to, for instance, pathologies in the human brain, heart and gait, or to inefficiencies in financial markets. Assessing irreversibility in time series is not an easy task, due to its many aetiologies and to the different ways it manifests in data. It is thus not surprising that several numerical methods have been proposed in the last decades, based on different principles and with different applications in mind. In this contribution we review the most important algorithmic solutions that have been proposed to test the irreversibility of time series, their underlying hypotheses, computational and practical limitations, and their comparative performance. We further provide an open-source software library that includes all tests here considered. As a final point, we show that "one size does not fit all", as tests yield complementary, and sometimes conflicting views to the problem; and discuss some future research avenues.