Multiscale horizontal visibility graph analysis of higher-order moments for estimating statistical dependency

Abstract

The horizontal visibility graph is not only a powerful tool for the analysis of complex systems, but also a promising way to analyze time series. In this paper, we present an approach to measure the nonlinear interactions between a non-stationary time series based on the horizontal visibility graph. We describe how a horizontal visibility graph may be calculated based on second-order and third-order statistical moments. We compare the new methods with the first-order measure, and then give examples including stock markets and aero-engine performance parameters. These analyses suggest that measures derived from the horizontal visibility graph may be of particular relevance to the growing interest in quantifying the information exchange between time series.