FEG-Pro: Forecast-Error Growth Profiling for Finite-Horizon Instability Analysis of Nonlinear Time Series

TL;DR

FEG-Pro introduces a novel framework for analyzing nonlinear time series by profiling forecast-error growth, enabling estimation of instability rates and extraction of informative features for signal analysis.

Contribution

The paper presents FEG-Pro, a new method for finite-horizon instability analysis that combines forecast-error profiling with feature extraction for nonlinear time series.

Findings

Good agreement with known Lyapunov exponents in quasi-linear cases.

Residual roughness and FEDE provide meaningful insights even in curved or weak profiles.

Features derived from forecast-error profiles are useful for nonlinear signal analysis.

Abstract

Estimating the largest Lyapunov exponent from a scalar time series is difficult when the governing equations, tangent dynamics, and full state vector are unavailable. We propose FEG-Pro, a forecast-error growth profiling framework for nonlinear scalar time series. The method constructs autocorrelation-guided sparse histories, performs distance-weighted k-nearest-neighbor multi-horizon forecasting, and analyzes the logarithmic growth of geometrically averaged forecast errors. Its primary output is the finite-horizon forecast-error growth slope, lambda_FEG. When the error-growth curve supports a quasi-linear regime, this slope can be compared with reference largest Lyapunov exponents as an estimate of the dominant instability rate. The same pipeline also extracts the formal fit-selection regime, curvature, residual roughness after quadratic detrending, monotonicity, and forecast-error distribution entropy (FEDE) from signed multi-horizon errors. These secondary descriptors are intended not only as diagnostic controls for the slope, but also as candidate machine-learning features for nonlinear signal analysis, because they encode profile geometry and distributional uncertainty not captured by lambda_FEG alone. We evaluate the method on chaotic maps, Mackey-Glass delay dynamics, and scalar Lorenz-63 observables with known or reference exponents. Full-record experiments show good agreement in quasi-linear cases and meaningful curve-shape information in curved or weak profiles. A dyadic length-halving experiment on representative logistic, Mackey-Glass, and Lorenz records shows that residual roughness and mean FEDE often change monotonically and remain interpretable as record length decreases, even when the slope becomes biased or highly variable. The results support treating forecast-error growth as a structured profile and feature-generation framework rather than a single-number estimator.