The parametric modified limited penetrable visibility graph for constructing complex networks from time series

Xiuming Li, Mei Sun, Cuixia Gao, Dun Han and Minggang Wang

Physica A: Statistical Mechanics and its Applications, 2018, vol. 492, issue C, 1097-1106

Abstract: This paper presents the parametric modified limited penetrable visibility graph (PMLPVG) algorithm for constructing complex networks from time series. We modify the penetrable visibility criterion of limited penetrable visibility graph (LPVG) in order to improve the rationality of the original penetrable visibility and preserve the dynamic characteristics of the time series. The addition of view angle provides a new approach to characterize the dynamic structure of the time series that is invisible in the previous algorithm. The reliability of the PMLPVG algorithm is verified by applying it to three types of artificial data as well as the actual data of natural gas prices in different regions. The empirical results indicate that PMLPVG algorithm can distinguish the different time series from each other. Meanwhile, the analysis results of natural gas prices data using PMLPVG are consistent with the detrended fluctuation analysis (DFA). The results imply that the PMLPVG algorithm may be a reasonable and significant tool for identifying various time series in different fields.

Keywords: Time series; Limited penetrable visibility graph; Parametric visibility graph; Fractal features; Natural gas prices (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:492:y:2018:i:c:p:1097-1106

DOI: 10.1016/j.physa.2017.11.040

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