Harvesting random embedding for high-frequency change-point detection in temporal complex systems.

ABSTRACT

Recent investigations have revealed that dynamics of complex networks and systems are crucially dependent on the temporal structures. Accurate detection of the time instant at which a system changes its internal structures has become a tremendously significant mission, beneficial to fully understanding the underlying mechanisms of evolving systems, and adequately modeling and predicting the dynamics of the systems as well. In real-world applications, due to a lack of prior knowledge on the explicit equations of evolving systems, an open challenge is how to develop a practical and model-free method to achieve the mission based merely on the time-series data recorded from real-world systems. Here, we develop such a model-free approach, named temporal change-point detection (TCD), and integrate both dynamical and statistical methods to address this important challenge in a novel way. The proposed TCD approach, basing on exploitation of spatial information of the observed time series of high dimensions, is able not only to detect the separate change points of the concerned systems without knowing, a priori, any information of the equations of the systems, but also to harvest all the change points emergent in a relatively high-frequency manner, which cannot be directly achieved by using the existing methods and techniques. Practical effectiveness is comprehensively demonstrated using the data from the representative complex dynamics and real-world systems from biology to geology and even to social science.