Asymmetric anomalous diffusion: An efficient way to detect memory in time series

作者：Grigolini P^*; Palatella L; Raffaelli G

来源：Fractals-Complex Geometry Patterns and Scaling in Nature and Society, 2001, 9(4): 439-449.

DOI：10.1142/S0218348X01000865

We study time series concerning rare events. The occurrence of a rare event is depicted as a jump of constant intensity always occurring in the same direction, thereby generating an asymmetric diffusion process. We consider the case where the waiting time distribution is an inverse power law with index mu. We focus our attention on mu < 3, and we evaluate the scaling exponent delta of the time in the resulting diffusion process. We prove that gets its maximum value, delta = 1, corresponding to the ballistic motion, at mu = 2. We study the resulting diffusion process by means of joint use of the continuous time random walk and of the generalized central limit theorem (CLT), as well as adopting a numerical treatment. We show that rendering the diffusion process to be asymmetric yields the significant benefit of enhancing the value of the scaling parameter delta. Furthermore, this scaling parameter becomes sensitive to the power index mu in the whole region 1 < mu < 3. Finally, we show our method in action on real data concerning human heartbeat sequences.

• 出版日期2001-12