arXiv:2605.17282nlin.CDcs.LG2026-05被引 2

通过误差增长曲线分析非线性时间序列的不稳定特性,无需完整方程。

FEG-Pro: Forecast-Error Growth Profiling for Finite-Horizon Instability Analysis of Nonlinear Time Series

论文配图:FEG-Pro: Forecast-Error Growth Profiling for Finite-Horizon Instability Analysis of Nonlinear Time Series
图 1 · 摘自论文原文
  • 基于自相关引导的稀疏历史与多步预测,分析误差对数增长斜率。
  • 在混沌映射等数据上,斜率与已知最大李雅普诺夫指数吻合良好。
  • 提取误差分布熵等特征,适合用于信号分析的机器学习建模。

从无法获取动力方程、切向动力学和全状态向量的标量时间序列中估计最大李雅普诺夫指数十分困难。本文提出FEG-Pro框架,通过构建自相关引导的稀疏历史,采用距离加权k近邻进行多时域预测,并分析几何平均预测误差的对数增长。主要输出为有限时域预测误差增长斜率λ_FEG。当误差增长曲线呈现准线性阶段时,该斜率可作为主导不稳定性速率的估计值,与参考最大李雅普诺夫指数对比。同一流程还提取拟合选择区间、曲率、二次去趋势后的残差粗糙度、单调性及预测误差分布熵(FEDE)。这些次级描述符不仅用于验证斜率可靠性,也可作为非线性信号分析的机器学习特征,因其捕捉了λ_FEG未涵盖的轮廓几何与分布不确定性。在混沌映射、Mackey-Glass延迟动力系统及标量洛伦兹-63观测数据上进行了评估。全记录实验显示,在准线性情形下结果一致,弯曲或弱特征情况下仍提供有意义的曲线形状信息。对代表性逻辑斯蒂、Mackey-Glass和洛伦兹序列进行长度二分实验表明,残差粗糙度与平均FEDE随记录长度减少仍保持单调且可解释,即使斜率出现偏差或高度波动。结果支持将预测误差增长视为结构化轮廓与特征生成框架,而非单一数值估计。

原文摘要 · Abstract (English)

Estimating the largest Lyapunov exponent from a scalar time series is difficult when the governing equations, tangent dynamics, and full state vector are unavailable. We propose FEG-Pro, a forecast-error growth profiling framework for nonlinear scalar time series. The method constructs autocorrelation-guided sparse histories, performs distance-weighted k-nearest-neighbor multi-horizon forecasting, and analyzes the logarithmic growth of geometrically averaged forecast errors. Its primary output is the finite-horizon forecast-error growth slope, lambda_FEG. When the error-growth curve supports a quasi-linear regime, this slope can be compared with reference largest Lyapunov exponents as an estimate of the dominant instability rate. The same pipeline also extracts the formal fit-selection regime, curvature, residual roughness after quadratic detrending, monotonicity, and forecast-error distribution entropy (FEDE) from signed multi-horizon errors. These secondary descriptors are intended not only as diagnostic controls for the slope, but also as candidate machine-learning features for nonlinear signal analysis, because they encode profile geometry and distributional uncertainty not captured by lambda_FEG alone. We evaluate the method on chaotic maps, Mackey-Glass delay dynamics, and scalar Lorenz-63 observables with known or reference exponents. Full-record experiments show good agreement in quasi-linear cases and meaningful curve-shape information in curved or weak profiles. A dyadic length-halving experiment on representative logistic, Mackey-Glass, and Lorenz records shows that residual roughness and mean FEDE often change monotonically and remain interpretable as record length decreases, even when the slope becomes biased or highly variable. The results support treating forecast-error growth as a structured profile and feature-generation framework rather than a single-number estimator.

时间序列混沌分析误差增长特征提取

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