‡We describe the use of singular value decomposition in transforming genome-wide expression data from genes 3 arrays space to reduced diagonalized ‘‘eigengenes’’ 3 ‘‘eigenarrays’’ space, where the eigengenes (or eigenarrays) are unique orthonormal superpositions of the genes (or arrays). Normalizing the data by filtering out the eigengenes (and eigenarrays) that are inferred to represent noise or experimental artifacts enables meaningful comparison of the expression of different genes across different arrays in different experiments. Sorting the data according to the eigengenes and eigenarrays gives a global picture of the dynamics of gene expression, in which individual genes and arrays appear to be classified into groups of similar regulation and function, or similar cellular state and biological phenotype, respectively. After normalization and sorting, the significant eigengenes and eigenarrays can be associated with observed genome-wide effects of regulators, or with measured samples, in which these regulators are overactive or underactive, respectively.

Singular Value Decomposition for Genome-Wide Expression Data Processing and Modeling

: This thesis applies neural network feature selection techniques to multivariate time series data to improve prediction of a target time series. Two approaches to feature selection are used. First, a subset enumeration method is used to determine which financial indicators are most useful for aiding in prediction of the S&P 500 futures daily price. The candidate indicators evaluated include RSI, Stochastics and several moving averages. Results indicate that the Stochastics and RSI indicators result in better prediction results than the moving averages. The second approach to feature selection is calculation of individual saliency metrics. A new decision boundary-based individual saliency metric, and a classifier independent saliency metric are developed and tested. Ruck's saliency metric, the decision boundary based saliency metric, and the classifier independent saliency metric are compared for a data set consisting of the RSI and Stochastics indicators as well as delayed closing price values. The decision based metric and the Ruck metric results are similar, but the classifier independent metric agrees with neither of the other metrics. The nine most salient features, determined by the decision boundary based metric, are used to train a neural network and the results are presented and compared to other published results. (AN)

/pdf/nonlinear-time-series-analysis-1j3a35n4y3.pdf

Nonlinear Time Series Analysis.

Since the early 1980s, short-term traffic forecasting has been an integral part of most Intelligent Transportation Systems (ITS) research and applications; most effort has gone into developing methodologies that can be used to model traffic characteristics and produce anticipated traffic conditions. Existing literature is voluminous, and has largely used single point data from motorways and has employed univariate mathematical models to predict traffic volumes or travel times. Recent developments in technology and the widespread use of powerful computers and mathematical models allow researchers an unprecedented opportunity to expand horizons and direct work in 10 challenging, yet relatively under researched, directions. It is these existing challenges that we review in this paper and offer suggestions for future work.

Short-term traffic forecasting: Where we are and where we’re going

Part I. Examples and Fundamental Concepts Introduction 1. First examples 2. Equivalence, classification, and invariants 3. Principle classes of asymptotic invariants 4. Statistical behavior of the orbits and introduction to ergodic theory 5. Smooth invariant measures and more examples Part II. Local Analysis and Orbit Growth 6. Local hyperbolic theory and its applications 7. Transversality and genericity 8. Orbit growth arising from topology 9. Variational aspects of dynamics Part III. Low-Dimensional Phenomena 10. Introduction: What is low dimensional dynamics 11. Homeomorphisms of the circle 12. Circle diffeomorphisms 13. Twist maps 14. Flows on surfaces and related dynamical systems 15. Continuous maps of the interval 16. Smooth maps of the interval Part IV. Hyperbolic Dynamical Systems 17. Survey of examples 18. Topological properties of hyperbolic sets 19. Metric structure of hyperbolic sets 20. Equilibrium states and smooth invariant measures Part V. Sopplement and Appendix 21. Dynamical systems with nonuniformly hyperbolic behavior Anatole Katok and Leonardo Mendoza.

Introduction to the Modern Theory of Dynamical Systems: EQUILIBRIUM STATES AND SMOOTH INVARIANT MEASURES

/pdf/analysis-of-observed-chaotic-data-3spe9uweeb.pdf

Analysis of observed chaotic data

Multifractal detrended fluctuation analysis (MF-DFA) is the most popular method to detect multifractal characteristics of considerable signals such as traffic signals. When fractal properties vary from point to point along the series, it leads to multifractality. In this study, we concentrate not only on the fact that traffic signals have multifractal properties, but also that such properties depend on the time scale in which the multifractality is computed. Via the multiscale multifractal analysis (MMA), traffic signals appear to be far more complex and contain more information which MF-DFA cannot explore by using a fixed time scale. More importantly, we do not have to avoid data sets with crossovers or narrow the investigated time scales, which may lead to biased results. Instead, the Hurst surface provides a spectrum of local scaling exponents at different scale ranges, which helps us to easily position these crossovers. Through comparing Hurst surfaces for signals before and after removing periodical trends, we find periodicities of traffic signals are the main source of the crossovers. Besides, the Hurst surface of the weekday series behaves differently from that of the weekend series. Results also show that multifractality of traffic signals is mainly due to both broad probability density function and correlations. The effects of data loss are also discussed, which suggests that we should carefully handle MMA results when the percentage of data loss is larger than 40$%$.

Multiscale multifractal analysis of traffic signals to uncover richer structures.

There is a certain relationship between the global financial markets, which creates an interactive network of global finance. Transfer entropy, a measurement for information transfer, offered a good way to analyse the relationship. In this paper, we analysed the relationship between 9 stock indices from the U.S., Europe and China (from 1995 to 2015) by using transfer entropy (TE), effective transfer entropy (ETE), Renyi transfer entropy (RTE) and effective Renyi transfer entropy (ERTE). We compared the four methods in the sense of the effectiveness for identification of the relationship between stock markets. In this paper, two kinds of information flows are given. One reveals that the U.S. took the leading position when in terms of lagged-current cases, but when it comes to the same date, China is the most influential. And ERTE could provide superior results.

Comparison of transfer entropy methods for financial time series

Transfer entropy between multivariate time series

There has been considerable interest in quantifying the complexity of different time series, such as physiologic time series, traffic time series. However, these traditional approaches fail to account for the multiple time scales inherent in time series, which have yielded contradictory findings when applied to real-world datasets. Then multi-scale entropy analysis (MSE) is introduced to solve this problem which has been widely used for physiologic time series. In this paper, we first apply the MSE method to different correlated series and obtain an interesting relationship between complexity and Hurst exponent. A modified MSE method called multiscale permutation entropy analysis (MSPE) is then introduced, which replaces the sample entropy (SampEn) with permutation entropy (PE) when measuring entropy for coarse-grained series. We employ the traditional MSE method and MSPE method to investigate complexities of different traffic series, and obtain that the complexity of weekend traffic time series differs from that of the workday time series, which helps to classify the series when making predictions.

Pengjian Shang

Papers

Multiscale multifractal analysis of traffic signals to uncover richer structures.

Comparison of transfer entropy methods for financial time series

Transfer entropy between multivariate time series

Multiscale entropy analysis of traffic time series

A comparison study on stages of sleep: Quantifying multiscale complexity using higher moments on coarse-graining