Time and ensemble averaging in time series analysis

TL;DR

This paper investigates the differences between single trajectory and multiple trajectory ensembles in time series analysis, revealing their distinct variances and proposing a new ensemble method that aligns with theoretical predictions.

Contribution

It introduces a novel threshold trajectory ensemble (TTE) method that makes single trajectory analysis equivalent to multiple trajectory ensemble in ergodic systems.

Findings

Variance differs between STE and MTE for the Ornstein-Uhlenbeck process.

TTE provides an ensemble equivalent to MTE for ergodic systems.

Experimental EEG data confirms the theoretical variance ratio of approximately 2.

Abstract

In many applications expectation values are calculated by partitioning a single experimental time series into an ensemble of data segments of equal length. Such single trajectory ensemble (STE) is a counterpart to a multiple trajectory ensemble (MTE) used whenever independent measurements or realizations of a stochastic process are available. The equivalence of STE and MTE for stationary systems was postulated by Wang and Uhlenbeck in their classic paper on Brownian motion (Rev. Mod. Phys. 17, 323 (1945)) but surprisingly has not yet been proved. Using the stationary and ergodic paradigm of statistical physics -- the Ornstein-Uhlenbeck (OU) Langevin equation, we revisit Wang and Uhlenbeck's postulate. In particular, we find that the variance of the solution of this equation is different for these two ensembles. While the variance calculated using the MTE quantifies the spreading of independent trajectories originating from the same initial point, the variance for STE measures the spreading of two correlated random walkers. Thus, STE and MTE refer to two completely different dynamical processes. Guided by this interpretation, we introduce a novel algorithm of partitioning a single trajectory into a phenomenological ensemble, which we name a threshold trajectory ensemble (TTE), that for an ergodic system is equivalent to MTE. We find that in the cohort of healthy volunteers, the ratio of STE and TTE asymptotic variances of stage 4 sleep electroencephalogram is equal to 1.96 \pm 0.04 which is in agreement with the theoretically predicted value of 2.