期刊
NEW JOURNAL OF PHYSICS
卷 23, 期 1, 页码 -出版社
IOP Publishing Ltd
DOI: 10.1088/1367-2630/abd50e
关键词
diffusion; anomalous diffusion; large-deviation statistic; time-averaged mean squared displacement; Chebyshev inequality
资金
- Deutscher Akademischer Austauschdienst (DAAD) [57214224]
- German Science Foundation (DFG) [ME 1535/7-1]
- Foundation for Polish Science (Fundacja na rzecz Nauki Polskiej) within a Humboldt Polish Honorary Research Scholarship
- German Research Foundation (DFG)
- Open Access Publication Fund of Potsdam University
The article introduces a new method based on time-series analysis, by analyzing the deviations of time-averaged mean-squared displacements to extract information about stochastic processes, and it can effectively test the applicability to simulated and real data sets, which is of great significance for studying observed stochastic processes.
Extensive time-series encoding the position of particles such as viruses, vesicles, or individual proteins are routinely garnered in single-particle tracking experiments or supercomputing studies. They contain vital clues on how viruses spread or drugs may be delivered in biological cells. Similar time-series are being recorded of stock values in financial markets and of climate data. Such time-series are most typically evaluated in terms of time-averaged mean-squared displacements (TAMSDs), which remain random variables for finite measurement times. Their statistical properties are different for different physical stochastic processes, thus allowing us to extract valuable information on the stochastic process itself. To exploit the full potential of the statistical information encoded in measured time-series we here propose an easy-to-implement and computationally inexpensive new methodology, based on deviations of the TAMSD from its ensemble average counterpart. Specifically, we use the upper bound of these deviations for Brownian motion (BM) to check the applicability of this approach to simulated and real data sets. By comparing the probability of deviations for different data sets, we demonstrate how the theoretical bound for BM reveals additional information about observed stochastic processes. We apply the large-deviation method to data sets of tracer beads tracked in aqueous solution, tracer beads measured in mucin hydrogels, and of geographic surface temperature anomalies. Our analysis shows how the large-deviation properties can be efficiently used as a simple yet effective routine test to reject the BM hypothesis and unveil relevant information on statistical properties such as ergodicity breaking and short-time correlations. Video Abstract Video Abstract: Leveraging large-deviation statistics to decipher the stochastic properties of measured trajectories
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