Time series analysis for multi-dimensional dynamical systems combining wavelet transformation and local principal component analysis

Abstract To analyze trajectories for systems of many degrees of freedom, we propose a new method called wavelet local principal component analysis (WlPCA) combining the wavelet transformation and local PCA in time. Our method enables us to reduce the dimensionality of time series both in degrees of freedom and frequency so that characteristic features of oscillatory behavior can be captured. To test the new method, we apply WlPCA to a non-autonomous model of multiple degrees of freedom, the Froeschlé maps of $N=2$ and $N=4$, which correspond to autonomous systems of three and five degrees of freedom, respectively. The eigenvalues and eigenvectors obtained by WlPCA reveal those times when frequency variation exhibits switching between relatively stationary features. Moreover, further analyses indicate which degrees of freedom and frequencies are involved in the switching. We confirm that the switching corresponds to the onset of transport in phase space. These findings imply that, even for systems of larger degrees of freedom, barriers can exist in phase space that block transport for a finite time, thereby dividing the phase space into multiple quasi-stationary regions. Thus, our method is promising for understanding dynamics in systems of many degrees of freedom, such as vibrational-energy redistribution in molecules.