Markov modeling via ordinal partitions: An alternative paradigm for network-based time-series analysis

Konstantinos Sakellariou, Thomas Stemler, Michael Small

Research output: Contribution to journalArticlepeer-review

21 Citations (Scopus)
265 Downloads (Pure)


Mapping time series to complex networks to analyze observables has recently become popular, both at the theoretical and the practitioner's level. The intent is to use network metrics to characterize the dynamics of the underlying system. Applications cover a wide range of problems, from geoscientific measurements to biomedical data and financial time series. It has been observed that different dynamics can produce networks with distinct topological characteristics under a variety of time-series-to-network transforms that have been proposed in the literature. The direct connection, however, remains unclear. Here, we investigate a network transform based on computing statistics of ordinal permutations in short subsequences of the time series, the so-called ordinal partition network. We propose a Markovian framework that allows the interpretation of the network using ergodic-theoretic ideas and demonstrate, via numerical experiments on an ensemble of time series, that this viewpoint renders this technique especially well-suited to nonlinear chaotic signals. The aim is to test the mapping's faithfulness as a representation of the dynamics and the extent to which it retains information from the input data. First, we show that generating networks by counting patterns of increasing length is essentially a mechanism for approximating the analog of the Perron-Frobenius operator in a topologically equivalent higher-dimensional space to the original state space. Then, we illustrate a connection between the connectivity patterns of the networks generated by this mapping and indicators of dynamics such as the hierarchy of unstable periodic orbits embedded within a chaotic attractor. The input is a scalar observable and any projection of a multidimensional flow suffices for reconstruction of the essential dynamics. Additionally, we create a detailed guide for parameter tuning. We argue that there is no optimal value of the pattern length m, rather it admits a scaling region akin to traditional embedding practice. In contrast, the embedding lag and overlap between successive patterns can be chosen exactly in an optimal way. Our analysis illustrates the potential of this transform as a complementary toolkit to traditional time-series methods.

Original languageEnglish
Article number062307
JournalPhysical Review E
Issue number6
Publication statusPublished - 18 Dec 2019


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