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Prof. Dr. Rainer Dahlhaus

— abgelegt unter:

Cointegration and Phase Synchronization: Bridging Two Theories

Was
  • FDM Seminar
Wann 03.11.2017
von 15:30 bis 16:30
Wo Raum 404, Eckerstraße 1, Freiburg i. Br.
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In this talk we present with VEC-state oscillators a new multivariate time series model for oscillators with random phases. In particular the phases may be synchronized. The model is a nonlinear state space model where the phase processes follow a vector error correction model used in econometrics to model cointegration. We demonstrate the relevance of this model for phase synchronization. In that way we bridge the theories of cointegration and phase synchronization which have been important theories in econometrics and physics, respectively. The common ground of both theories is that they describe the fluctuation of some multivariate random process around an equilibrium. We demonstrate how the methods from cointegration can be applied to phase synchronization. In particular we consider an unidirectionally coupled Rössler-Lorenz system and identify the unidirectional coupling, the phase synchronization equilibrium and the phase shifts with cointegration tests.
 

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