On the Validity of Detrended Fluctuation Analysis at Short Scales.

Detrended Fluctuation Analysis (DFA) has become a standard method to quantify the correlations and scaling properties of real-world complex time series. For a given scale ℓ of observation, DFA provides the function F(ℓ), which quantifies the fluctuations of the time series around the local trend, which is substracted (detrended). If the time series exhibits scaling properties, then F(ℓ)∼ℓα asymptotically, and the scaling exponent α is typically estimated as the slope of a linear fitting in the logF(ℓ) vs. log(ℓ) plot. In this way, α measures the strength of the correlations and characterizes the underlying dynamical system. However, in many cases, and especially in a physiological time series, the scaling behavior is different at short and long scales, resulting in logF(ℓ) vs. log(ℓ) plots with two different slopes, α1 at short scales and α2 at large scales of observation. These two exponents are usually associated with the existence of different mechanisms that work at distinct time scales acting on the underlying dynamical system. Here, however, and since the power-law behavior of F(ℓ) is asymptotic, we question the use of α1 to characterize the correlations at short scales. To this end, we show first that, even for artificial time series with perfect scaling, i.e., with a single exponent α valid for all scales, DFA provides an α1 value that systematically overestimates the true exponent α. In addition, second, when artificial time series with two different scaling exponents at short and large scales are considered, the α1 value provided by DFA not only can severely underestimate or overestimate the true short-scale exponent, but also depends on the value of the large scale exponent. This behavior should prevent the use of α1 to describe the scaling properties at short scales: if DFA is used in two time series with the same scaling behavior at short scales but very different scaling properties at large scales, very different values of α1 will be obtained, although the short scale properties are identical. These artifacts may lead to wrong interpretations when analyzing real-world time series: on the one hand, for time series with truly perfect scaling, the spurious value of α1 could lead to wrongly thinking that there exists some specific mechanism acting only at short time scales in the dynamical system. On the other hand, for time series with true different scaling at short and large scales, the incorrect α1 value would not characterize properly the short scale behavior of the dynamical system.

Transforming Gaussian correlations. Applications to generating long-range power-law correlated time series with arbitrary distribution.

The observable outputs of many complex dynamical systems consist of time series exhibiting autocorrelation functions of great diversity of behaviors, including long-range power-law autocorrelation functions, as a signature of interactions operating at many temporal or spatial scales. Often, numerical algorithms able to generate correlated noises reproducing the properties of real time series are used to study and characterize such systems. Typically, many of those algorithms produce a Gaussian time series. However, the real, experimentally observed time series are often non-Gaussian and may follow distributions with a diversity of behaviors concerning the support, the symmetry, or the tail properties. It is always possible to transform a correlated Gaussian time series into a time series with a different marginal distribution, but the question is how this transformation affects the behavior of the autocorrelation function. Here, we study analytically and numerically how the Pearson's correlation of two Gaussian variables changes when the variables are transformed to follow a different destination distribution. Specifically, we consider bounded and unbounded distributions, symmetric and non-symmetric distributions, and distributions with different tail properties from decays faster than exponential to heavy-tail cases including power laws, and we find how these properties affect the correlation of the final variables. We extend these results to a Gaussian time series, which are transformed to have a different marginal distribution, and show how the autocorrelation function of the final non-Gaussian time series depends on the Gaussian correlations and on the final marginal distribution. As an application of our results, we propose how to generalize standard algorithms producing a Gaussian power-law correlated time series in order to create a synthetic time series with an arbitrary distribution and controlled power-law correlations. Finally, we show a practical example of this algorithm by generating time series mimicking the marginal distribution and the power-law tail of the autocorrelation function of real time series: the absolute returns of stock prices.

Critical Dynamics and Coupling in Bursts of Cortical Rhythms Indicate Non-Homeostatic Mechanism for Sleep-Stage Transitions and Dual Role of VLPO Neurons in Both Sleep and Wake.

Origin and functions of intermittent transitions among sleep stages, including brief awakenings and arousals, constitute a challenge to the current homeostatic framework for sleep regulation, focusing on factors modulating sleep over large time scales. Here we propose that the complex micro-architecture characterizing sleep on scales of seconds and minutes results from intrinsic non-equilibrium critical dynamics. We investigate θ- and δ-wave dynamics in control rats and in rats where the sleep-promoting ventrolateral preoptic nucleus (VLPO) is lesioned (male Sprague-Dawley rats). We demonstrate that bursts in θ and δ cortical rhythms exhibit complex temporal organization, with long-range correlations and robust duality of power-law (θ-bursts, active phase) and exponential-like (δ-bursts, quiescent phase) duration distributions, features typical of non-equilibrium systems self-organizing at criticality. We show that such non-equilibrium behavior relates to anti-correlated coupling between θ- and δ-bursts, persists across a range of time scales, and is independent of the dominant physiologic state; indications of a basic principle in sleep regulation. Further, we find that VLPO lesions lead to a modulation of cortical dynamics resulting in altered dynamical parameters of θ- and δ-bursts and significant reduction in θ-δ coupling. Our empirical findings and model simulations demonstrate that θ-δ coupling is essential for the emerging non-equilibrium critical dynamics observed across the sleep-wake cycle, and indicate that VLPO neurons may have dual role for both sleep and arousal/brief wake activation. The uncovered critical behavior in sleep- and wake-related cortical rhythms indicates a mechanism essential for the micro-architecture of spontaneous sleep-stage and arousal transitions within a novel, non-homeostatic paradigm of sleep regulation.SIGNIFICANCE STATEMENT We show that the complex micro-architecture of sleep-stage/arousal transitions arises from intrinsic non-equilibrium critical dynamics, connecting the temporal organization of dominant cortical rhythms with empirical observations across scales. We link such behavior to sleep-promoting neuronal population, and demonstrate that VLPO lesion (model of insomnia) alters dynamical features of θ and δ rhythms, and leads to significant reduction in θ-δ coupling. This indicates that VLPO neurons may have dual role for both sleep and arousal/brief wake control. The reported empirical findings and modeling simulations constitute first evidences of a neurophysiological fingerprint of self-organization and criticality in sleep- and wake-related cortical rhythms; a mechanism essential for spontaneous sleep-stage and arousal transitions that lays the bases for a novel, non-homeostatic paradigm of sleep regulation.

Comparison of methods for the assessment of nonlinearity in short-term heart rate variability under different physiopathological states.

Despite the widespread diffusion of nonlinear methods for heart rate variability (HRV) analysis, the presence and the extent to which nonlinear dynamics contribute to short-term HRV are still controversial. This work aims at testing the hypothesis that different types of nonlinearity can be observed in HRV depending on the method adopted and on the physiopathological state. Two entropy-based measures of time series complexity (normalized complexity index, NCI) and regularity (information storage, IS), and a measure quantifying deviations from linear correlations in a time series (Gaussian linear contrast, GLC), are applied to short HRV recordings obtained in young (Y) and old (O) healthy subjects and in myocardial infarction (MI) patients monitored in the resting supine position and in the upright position reached through head-up tilt. The method of surrogate data is employed to detect the presence and quantify the contribution of nonlinear dynamics to HRV. We find that the three measures differ both in their variations across groups and conditions and in the percentage and strength of nonlinear HRV dynamics. NCI and IS displayed opposite variations, suggesting more complex dynamics in O and MI compared to Y and less complex dynamics during tilt. The strength of nonlinear dynamics is reduced by tilt using all measures in Y, while only GLC detects a significant strengthening of such dynamics in MI. A large percentage of detected nonlinear dynamics is revealed only by the IS measure in the Y group at rest, with a decrease in O and MI and during T, while NCI and GLC detect lower percentages in all groups and conditions. While these results suggest that distinct dynamic structures may lie beneath short-term HRV in different physiological states and pathological conditions, the strong dependence on the measure adopted and on their implementation suggests that physiological interpretations should be provided with caution.

Differences in nonlinear heart dynamics during rest and exercise and for different training.

OBJECTIVE: In this work we want to analyze differences in nonlinear properties between rest and exercise and also to study the permanent effects of physical exercise on heart rate dynamics. APPROACH: It has been shown that physical exercise alters heart dynamics by increasing heart rate and decreasing variability, modifying spectral power and linear correlations, etc. We hypothesize that physical exercise should also reduce nonlinearity in the heartbeat time series. To quantify nonlinearity in the heartbeat time series, we use an index of nonlinearity recently proposed by Bernaola et al based on correlations of the magnitude time series. MAIN RESULTS: Our results confirm our initial hypothesis of loss of nonlinearity during physical exercise. Moreover, regarding the permanent effects of physical exercise on heart rate dynamics, we also obtain that aerobic physical training tends to increase nonlinearity in heart dynamics during rest. SIGNIFICANCE: It is well-known that heart dynamics are controlled by complex interactions between the sympathetic and parasympathetic branches of the autonomic nervous system. Moreover, these two branches act in a competing way, resulting in a clear parasympathetic withdrawal and sympathetic activation during physical exercise. We associate these interactions during physical exercise with a drastic loss of nonlinear properties in the heartbeat time series, revealing the importance of nonlinearity measures in the study of complex systems.

Correlations in magnitude series to assess nonlinearities: Application to multifractal models and heartbeat fluctuations.

The correlation properties of the magnitude of a time series are associated with nonlinear and multifractal properties and have been applied in a great variety of fields. Here we have obtained the analytical expression of the autocorrelation of the magnitude series (C_{|x|}) of a linear Gaussian noise as a function of its autocorrelation (C_{x}). For both, models and natural signals, the deviation of C_{|x|} from its expectation in linear Gaussian noises can be used as an index of nonlinearity that can be applied to relatively short records and does not require the presence of scaling in the time series under study. In a model of artificial Gaussian multifractal signal we use this approach to analyze the relation between nonlinearity and multifractallity and show that the former implies the latter but the reverse is not true. We also apply this approach to analyze experimental data: heart-beat records during rest and moderate exercise. For each individual subject, we observe higher nonlinearities during rest. This behavior is also achieved on average for the analyzed set of 10 semiprofessional soccer players. This result agrees with the fact that other measures of complexity are dramatically reduced during exercise and can shed light on its relationship with the withdrawal of parasympathetic tone and/or the activation of sympathetic activity during physical activity.

Magnitude and sign of long-range correlated time series: Decomposition and surrogate signal generation.

We systematically study the scaling properties of the magnitude and sign of the fluctuations in correlated time series, which is a simple and useful approach to distinguish between systems with different dynamical properties but the same linear correlations. First, we decompose artificial long-range power-law linearly correlated time series into magnitude and sign series derived from the consecutive increments in the original series, and we study their correlation properties. We find analytical expressions for the correlation exponent of the sign series as a function of the exponent of the original series. Such expressions are necessary for modeling surrogate time series with desired scaling properties. Next, we study linear and nonlinear correlation properties of series composed as products of independent magnitude and sign series. These surrogate series can be considered as a zero-order approximation to the analysis of the coupling of magnitude and sign in real data, a problem still open in many fields. We find analytical results for the scaling behavior of the composed series as a function of the correlation exponents of the magnitude and sign series used in the composition, and we determine the ranges of magnitude and sign correlation exponents leading to either single scaling or to crossover behaviors. Finally, we obtain how the linear and nonlinear properties of the composed series depend on the correlation exponents of their magnitude and sign series. Based on this information we propose a method to generate surrogate series with controlled correlation exponent and multifractal spectrum.