NDLI: Algorithm for the Characterization of the Cross-Correlation Structure in Multivariate Time Series

Content Provider	Springer Nature Link
Author	Pukenas, Kazimieras
Copyright Year	2013
Abstract	In this paper, it is shown that the block circulant matrix decomposition technique makes the multivariate singular spectrum analysis (M-SSA) a well suited tool for detecting of changes of the correlation structure in non-stationary multivariate time series in the presence of high observational noise levels. The major drawback of M-SSA, that it operates on a large covariance matrix and becomes computationally expensive, can be avoided by reordering the Toeplitz-block covariance matrix into a block Toeplitz matrix, embedding this into a block circulant matrix and efficiently block-diagonalizing this by the means of the Fast Fourier Transform (FFT) using the well known algorithm. The overall degree of synchronization among multiple-channel signals is defined by the synchronization index (the S-estimator) of the rearranged and truncated eigenvalue spectrum. Throughout the experiment, the high capability of the proposed algorithm to detect the lag-synchronized state under the influence of strong noise is validated with simulated data—a network of time series generated by autoregressive models (AR) and a network of coupled chaotic Roessler oscillators.
Starting Page	1289
Ending Page	1297
Page Count	9
File Format	PDF
ISSN	0278081X
Journal	Circuits, Systems, and Signal Processing
Volume Number	33
Issue Number	4
e-ISSN	15315878
Language	English
Publisher	Springer US
Publisher Date	2013-10-22
Publisher Place	Boston
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Phase space Multivariate singular spectrum analysis Eigenvalue spectrum Block Toeplitz matrix Block circulant matrix Fast Fourier Transform Circuits and Systems Electrical Engineering Signal, Image and Speech Processing Electronics and Microelectronics, Instrumentation
Content Type	Text
Resource Type	Article
Subject	Applied Mathematics Signal Processing

Sl.	Authority	Responsibilities	Communication Details
1	Ministry of Education (GoI), Department of Higher Education	Sanctioning Authority	https://www.education.gov.in/ict-initiatives
2	Indian Institute of Technology Kharagpur	Host Institute of the Project: The host institute of the project is responsible for providing infrastructure support and hosting the project	https://www.iitkgp.ac.in
3	National Digital Library of India Office, Indian Institute of Technology Kharagpur	The administrative and infrastructural headquarters of the project	Dr. B. Sutradhar bsutra@ndl.gov.in
4	Project PI / Joint PI	Principal Investigator and Joint Principal Investigators of the project	Dr. B. Sutradhar bsutra@ndl.gov.in Prof. Saswat Chakrabarti will be added soon
5	Website/Portal (Helpdesk)	Queries regarding NDLI and its services	support@ndl.gov.in
6	Contents and Copyright Issues	Queries related to content curation and copyright issues	content@ndl.gov.in
7	National Digital Library of India Club (NDLI Club)	Queries related to NDLI Club formation, support, user awareness program, seminar/symposium, collaboration, social media, promotion, and outreach	clubsupport@ndl.gov.in
8	Digital Preservation Centre (DPC)	Assistance with digitizing and archiving copyright-free printed books	dpc@ndl.gov.in
9	IDR Setup or Support	Queries related to establishment and support of Institutional Digital Repository (IDR) and IDR workshops	idr@ndl.gov.in

A Fast Eigenvalue Algorithm for Hankel Matrices (1998)

A Fast Eigenvalue Algorithm for Hankel Matrices (1998)

Triple-Matrix Product-Based 2D Systolic Implementation of Discrete Fourier Transform

Fast Normalized Cross-Correlation

On the Fast Fractional Jacket Transform

Parallel Algorithm for SWFFT Using 3D Data Structure

A Stabilized Multichannel Fast RLS Algorithm for Adaptive Transmultiplexer Receivers

MIMO Radar Beamforming Using Orthogonal Decomposition of Correlation Matrix

Fast Algorithm for Optimal Design of Block Digital Filters Based on Circulant Matrices

Algorithm for the Characterization of the Cross-Correlation Structure in Multivariate Time Series

Similar Documents

A Fast Eigenvalue Algorithm for Hankel Matrices (1998)

A Fast Eigenvalue Algorithm for Hankel Matrices (1998)

Triple-Matrix Product-Based 2D Systolic Implementation of Discrete Fourier Transform

Fast Normalized Cross-Correlation

On the Fast Fractional Jacket Transform

Parallel Algorithm for SWFFT Using 3D Data Structure

A Stabilized Multichannel Fast RLS Algorithm for Adaptive Transmultiplexer Receivers

MIMO Radar Beamforming Using Orthogonal Decomposition of Correlation Matrix

Fast Algorithm for Optimal Design of Block Digital Filters Based on Circulant Matrices

Algorithm for the Characterization of the Cross-Correlation Structure in Multivariate Time Series