An Overview of Complex Time Series Analysis

Different methodologies have been developed for the analysis and study of dynamical systems, including both theoretical models and natural systems. Examples span a wide range of applications, such as astronomy, financial and economic time series, biophysical systems, physiological phenomena, and Earth sciences, including seismicity and climatic processes. The study of these complex systems is commonly based on the analysis of the signals they generate, using mathematical tools to extract relevant information. A broad spectrum of mathematical disciplines converges in this context, including stochastic, probability and statistical theory, entropic and informational measures, fractal and multifractal analysis, natural time analysis, modeling of non-linearity and recurrence methods, generalized entropies, non-extensive systems, machine learning, and high-dimensional and multivariate complexity. Research in this area is largely focused on the characterization of complex systems, providing indicators of determinism or stochasticity, distinguishing between regularity, chaos, and noise, and identifying topological as well as disorder-regularity features. In addition, short- and long-term forecasting, together with the identification of short- and long-range correlations, play a central role in such characterization. To address these objectives, numerous mathematical tools have been developed for the analysis of time series and point processes, each designed to capture specific signal properties. In this work, many of the most important tools used in time series analysis are compiled and reviewed, highlighting their main characteristics and the different types of complex systems to which they have been applied.