Maximum entropy approach to multivariate time series randomization.

ABSTRACT: Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series. Typically, this is done via hypothesis testing: the statistical properties of the empirical time series are tested against those expected under a suitable null hypothesis. This is a very challenging task in complex interacting systems, where statistical stability is often poor due to lack of stationarity and ergodicity. Here, we describe an unsupervised, data-driven framework to perform hypothesis testing in such situations. This consists of a statistical mechanical approach-analogous to the configuration model for networked systems-for ensembles of time series designed to preserve, on average, some of the statistical properties observed on an empirical set of time series. We showcase its possible applications with a case study on financial portfolio selection.

SUBMITTER: Marcaccioli R 

PROVIDER: S-EPMC7327071 | biostudies-literature | 2020 Jun

REPOSITORIES: biostudies-literature