Discriminating chaotic and stochastic time series using permutation entropy and artificial neural networks

Extracting relevant properties of empirical signals generated by nonlinear, stochastic, and high-dimensional systems is a challenge of complex systems research. Open questions are how to differentiate chaotic signals from stochastic ones, and how to quantify nonlinear and/or high-order temporal correlations. Here we propose a new technique to reliably address both problems. Our approach follows two steps: first, we train an artificial neural network (ANN) with flicker (colored) noise to predict the value of the parameter, a, that determines the strength of the correlation of the noise. To predict a the ANN input features are a set of probabilities that are extracted from the time series by using symbolic ordinal analysis. Then, we input to the trained ANN the probabilities extracted from the time series of interest, and analyze the ANN output. We find that the a value returned by the ANN is informative of the temporal correlations present in the time series. To distinguish between stochastic and chaotic signals, we exploit the fact that the difference between the permutation entropy (PE) of a given time series and the PE of flicker noise with the same a parameter is small when the time series is stochastic, but it is large when the time series is chaotic. We validate our technique by analysing synthetic and empirical time series whose nature is well established. We also demonstrate the robustness of our approach with respect to the length of the time series and to the level of noise. We expect that our algorithm, which is freely available, will be very useful to the community.The authors thank Vandertone Santos Machado for providing the deterministic data of a chaotic Chua circuit. B.R.R.B., R.C.B, K.L.R., T.L.P. and S.R.L acknowledge partial support of Conselho Nacional de Desenvolvimento Científico e Tecnológico, CNPq, Brazil, Grant No. 302785/2017-5, 308621/2019-0 and the Coordenação de Aperfeiçoamento de Pessoal de Nível Superior, Brasil (CAPES), Finance Code 001. C.M. acknowledges funding by the Spanish Ministerio de Ciencia, Innovacion y Universidades (PGC2018-099443-B-I00) and the ICREA ACADEMIA program of Generalitat de Catalunya.Peer ReviewedPostprint (author's final draft