Nonlinear Correlation Analysis of Time Series Based on Complex Network Similarity

Characterizing the relationship between time series is an important issue in many fields, in particular, in many cases there is a nonlinear correlation between series. This paper provides a new method to study the relationship between time series using the perspective of complex networks. This method converts a time series into a distance matrix and constructs a sequence of nearest neighbor networks, so that the nonlinear relationship between time series is expressed as similarity between networks. In addition, based on the surrogate series, we applied Z-score to characterize the level of significance and analyzed some benchmark models. We not only use the artificial dataset and the real dataset to verify the effectiveness of the proposed method, but also analyze its robustness, which provides an alternative method for detecting nonlinear relationships.