Delay estimation for multivariate time series

Most traditional methods for extracting the relationships between two time series are based on cross-correlation. In a non-linear non-stationary environment, these techniques are not sufficient. We show in this paper how to use hidden Markov models (HMMs) to identify the lag (or delay) between different variables for such data. We first present a method using maximum likelihood estimation and propose a simple algorithm which is capable of identifying associations between variables. We also adopt an information-theoretic approach and develop a novel procedure for training HMMs to maximise the mutual information between delayed time series. Both methods are successfully applied to real data. We model the oil drilling process with HMMs and estimate a crucial parameter, namely the lag for return.

Time delay estimation with hidden Markov models

Most traditional methods for extracting the relationships between two time series are based on cross-correlation. In a non-linear non-stationary environment, these techniques are not sufficient. We show in this paper how to use hidden Markov models to identify the lag (or delay) between different variables for such data. Adopting an information-theoretic approach, we develop a procedure for training HMMs to maximise the mutual information (MMI) between delayed time series. The method is used to model the oil drilling process. We show that cross-correlation gives no information and that the MMI approach outperforms maximum likelihood.

Numerical implementation of the coarse step method with a varying differential group delay

The effect of having a fixed differential group delay term in the coarse step method results in a periodic pattern in the inserting a varying DGD term at each integration step, according to a Gaussian distribution. Simulation results are given to illustrate the phenomenon and provide some evidence about its statistical nature.

Fibre grating time delay element for phased array antennas

The authors have demonstrated an optical fibre grating based delay line which produces time delays in increments as small as 31 ps. The device could provide a true time delay component for a phased array antenna

Soliton propagation through a disordered system:statistics of the transmission delay

We have studied the soliton propagation through a segment containing random pointlike scatterers. In the limit of small concentration of scatterers when the mean distance between the scatterers is larger than the soliton width, a method has been developed for obtaining the statistical characteristics of the soliton transmission through the segment. The method is applicable for any classical particle traversing through a disordered segment with the given velocity transformation after each act of scattering. In the case of weak scattering and relatively short disordered segment the transmission time delay of a fast soliton is mostly determined by the shifts of the soliton center after each act of scattering. For sufficiently long segments the main contribution to the delay is due to the shifts of the amplitude and velocity of a fast soliton after each scatterer. Corresponding crossover lengths for both cases of light and heavy solitons have been obtained. We have also calculated the exact probability density function of the soliton transmission time delay for a sufficiently long segment. In the case of weak identical scatterers the latter is a universal function which depends on a sole parameter—the mean number of scatterers in a segment.

Novel complex gratings with third-order group-delay variations for tunable pure dispersion slope compensation

We present a novel tunable dispersion compensator that can provide pure slope compensation. The approach uses two specially designed complex fiber Bragg gratings (FBGs) with reversely varied third-order group delay curves to generate the dispersion slope. The slope can be changed by adjusting the relative wavelength positions of the two FBGs. Several design examples of such complex gratings are presented and discussed. Experimentally, we achieve a dispersion slope tuning range of +/-650ps/nm2 with >0.9nm usable bandwidth.

Approximating differentiable relationships between delay embedded dynamical systems with radical basis functions

This thesis is about the study of relationships between experimental dynamical systems. The basic approach is to fit radial basis function maps between time delay embeddings of manifolds. We have shown that under certain conditions these maps are generically diffeomorphisms, and can be analysed to determine whether or not the manifolds in question are diffeomorphically related to each other. If not, a study of the distribution of errors may provide information about the lack of equivalence between the two. The method has applications wherever two or more sensors are used to measure a single system, or where a single sensor can respond on more than one time scale: their respective time series can be tested to determine whether or not they are coupled, and to what degree. One application which we have explored is the determination of a minimum embedding dimension for dynamical system reconstruction. In this special case the diffeomorphism in question is closely related to the predictor for the time series itself. Linear transformations of delay embedded manifolds can also be shown to have nonlinear inverses under the right conditions, and we have used radial basis functions to approximate these inverse maps in a variety of contexts. This method is particularly useful when the linear transformation corresponds to the delay embedding of a finite impulse response filtered time series. One application of fitting an inverse to this linear map is the detection of periodic orbits in chaotic attractors, using suitably tuned filters. This method has also been used to separate signals with known bandwidths from deterministic noise, by tuning a filter to stop the signal and then recovering the chaos with the nonlinear inverse. The method may have applications to the cancellation of noise generated by mechanical or electrical systems. In the course of this research a sophisticated piece of software has been developed. The program allows the construction of a hierarchy of delay embeddings from scalar and multi-valued time series. The embedded objects can be analysed graphically, and radial basis function maps can be fitted between them asynchronously, in parallel, on a multi-processor machine. In addition to a graphical user interface, the program can be driven by a batch mode command language, incorporating the concept of parallel and sequential instruction groups and enabling complex sequences of experiments to be performed in parallel in a resource-efficient manner.

The application of fibre Bragg grating networks as strain sensors and as phased array antenna true time delay elements

The fabrication of in-fibre Bragg gratings, and the application of arrays of such gratings as strain sensors and as true time delay elements for the control of phased array antennas is reported. Chirped period Bragg gratings were produced using the fibre deformation fabrication technique, with chirps of between 2.9nm and 17.3nm achieved. Arrays of 5mm and 2mm long uniform period Bragg gratings were fabricated using the inscription method, for use as true time delay elements,dissimilar wavefronts and their spectral characteristics recorded. The uniform period grating arrays were used to create minimum time delays of 9.09ps, 19.02ps and 31ps; making them suitable for controlling phased array antennas operating at RF frequencies of up to 3GHz, with 10° phase resolution. Four 4mm long chirped gratings were produced using the dissimilar wavefronts fabrication method, having chirps of 7nm, 12nm, 20nm and 30nm, and were used to create time delays of between 0.3ps and 59ps. Hence they are suitable for controlling phased array antennas at RF frequencies of up to 48GHz. The application of in fibre Bragg gratings as strain sensors within smart structure materials was investigated, with their sensitivity to applied strain and compression measured for both embedded and surface mounted uniform period and fibre Fabry-Perot filter gratings. A fibre Bragg grating sensor demultiplexing scheme based on a liquid crystal filled Fabry-Perot etalon tuneable transmission filter was proposed, successfully constructed and fully characterised. Three characteristics of the LCFP etalon were found to pose operational limitations to its application in a Bragg grating sensor system; most significantly, the resonance peak wavelength was highly (-2,77nm/°C) temperature dependent. Several methods for minimising this temperature sensitivity were investigated, but enjoyed only limited success. It was therefore concluded that this type (E7 filled) of LCFP etalon is unsuitable for use as a Bragg grating sensor demultiplexing element.

Multiple conduction paths in boron δ-doped diamond structures

Impedance spectroscopy has been used to investigate conductivity within boron-doped diamond in an intrinsic/delta-doped/intrinsic (i-d-i) multilayer structure. For a 5 nm thick delta layer, three conduction pathways are observed, which can be assigned to transport within the delta layer and to two differing conduction paths in the i-layers adjoining the delta layer. For transport in the i-layers, thermal trapping/detrapping processes can be observed, and only at the highest temperature investigated (673 K) can transport due to a single conduction process be seen. Impedance spectroscopy is an ideal nondestructive tool for investigating the electrical characteristics of complex diamond structures.

Synthesis of arbitrary group delay responses with all-pass optical cavities structures

We propose a systematic method for the synthesis of arbitrary group delay responses by using all-pass structures of coupled optical cavities. Optimum structure parameters design, in terms of filter order and accuracy, are obtained.

Reduction of XPM penalty by sub-bit delay demodulation of DQPSK

We show that using a shortened delay in the demodulator for DQPSK channels can significantly reduce the XPM penalties caused by transmitting 40Gb/s DQPSK channels alongside 10Gb/s OOK channels. © 2010 Optical Society of America.