FEG-Pro: Forecast-Error Growth Profiling for Finite-Horizon Instability Analysis of Nonlinear Time Series
Authors: Andrei Velichko, N'Gbo N'Gbo, Bruno Carpentieri, Mudassir Shams
Organizations: Institute of Physics and Technology, Petrozavodsk State University, Petrozavodsk, Russia · School of Science and Engineering, International University of Grand Bassam, Grand Bassam, Cote d’Ivoire · Faculty of Engineering, Free University of Bozen-Bolzano, Bolzano, Italy · Department of Mathematics, Faculty of Arts and Science, Balikesir University, Balikesir, Turkey · Department of Mathematics and Statistics, Riphah International University, Islamabad, Pakistan
Abstract
Estimating the largest Lyapunov exponent from a scalar time series is difficult when the governing equations, tangent dynamics, and full state vector are unavailable. We propose FEG-Pro, a forecast-error growth profiling framework for nonlinear scalar time series. The method constructs autocorrelation-guided sparse histories, performs distance-weighted k-nearest-neighbor multi-horizon forecasting, and analyzes the logarithmic growth of geometrically averaged forecast errors. Its primary output is the finite-horizon forecast-error growth slope, lambda_FEG. When the error-growth curve supports a quasi-linear regime, this slope can be compared with reference largest Lyapunov exponents as an estimate of the dominant instability rate. The same pipeline also extracts the formal fit-selection regime, curvature, residual roughness after quadratic detrending, monotonicity, and forecast-error distribution entropy (FEDE) from signed multi-horizon errors. These secondary descriptors are intended not only as diagnostic controls for the slope, but also as candidate machine-learning features for nonlinear signal analysis, because they encode profile geometry and distributional uncertainty not captured by lambda_FEG alone. We evaluate the method on chaotic maps, Mackey-Glass delay dynamics, and scalar Lorenz-63 observables with known or reference exponents. Full-record experiments show good agreement in quasi-linear cases and meaningful curve-shape information in curved or weak profiles. A dyadic length-halving experiment on representative logistic, Mackey-Glass, and Lorenz records shows that residual roughness and mean FEDE often change monotonically and remain interpretable as record length decreases, even when the slope becomes biased or highly variable. The results support treating forecast-error growth as a structured profile and feature-generation framework rather than a single-number estimator.
Estimating positive largest Lyapunov exponents from data is comparatively natural because neighboring trajectories separate, whereas stable dynamics require resolving contraction before measurement noise or finite precision erases the signal. We introduce a period-aware forecast-error contraction procedure for estimating a dominant negative Lyapunov exponent from ensembles of short scalar trajectories without using governing equations or an analytical Jacobian. A k-nearest-neighbor predictor is trained on trajectory histories, the geometric-mean absolute forecast error is evaluated at phase-consistent horizons, and the exponent is obtained from the slope of the logarithmic error profile. Unlike data-driven approaches that reconstruct local evolution matrices or differentiate a learned surrogate, the proposed method extracts the contraction rate directly from out-of-sample forecast errors. Two adaptations are essential: the forecast step is synchronized with the detected orbit period, and candidate slopes are accepted only when they form a stable consensus across several transient lengths. On the logistic map, the method recovers 92 of 112 negative-exponent parameter values with a mean absolute error of 0.0253 and R2=0.886. On a two-dimensional map without fixed points, independent scalar pipelines based on the three observables xn, yn, and zn give mean absolute errors of 0.00879--0.01145 and R2=0.983--0.986. Because the estimation stage uses only observed trajectories, the framework provides a basis for repeated-relaxation experiments in which short sensor responses are available but the governing equations and analytical Jacobian are unknown. Experimental validation remains a subject of future work.
Time series forecasting often requires learning nonlinear and time-delayed dependencies. A paradigmatic class of forecasting models are nonlinear vector autoregressive processes (NVAR), also known as next-generation reservoir computers (NG-RCs). These models approximate the Koopman operator on the space spanned by their explicit feature library. We consider the identifiability problem for learning Markovian nonlinear dynamical systems and show that the training error as a function of time resolution follows characteristic (pre-)asymptotic scaling laws. These laws depend on whether the feature library can represent the early Lie-series coefficients of the flow map (propagator) exactly or merely approximately. For dynamical systems governed by polynomial vector fields, we demonstrate the mechanism for NVAR/NG-RC models with monomial and Fourier feature libraries. We determine the dependence of the training error on the temporal resolution, the involved nonlinear degree, and the number of delay terms. While delay terms reduce the optimal one-step training error, they improve long-horizon forecasts only when the library provides sufficient nonlinearity. Thus, small training error coexists with weak generalization as the model class is mismatched to the true data-generating process. Numerical experiments on various chaotic dynamical systems confirm the theoretical predictions.
Detecting transient chaos from scalar observations without governing equations represents a fundamental challenge in nonlinear dynamics. We propose a geometry-guided machine learning framework that unifies predictive trajectory divergence with macroscopic attractor morphology to track abrupt regime shifts. The methodology extracts a local instability scale via out-of-sample k-nearest neighbor forecast errors to establish the ML-FTLE estimator, subsequently mapping this temporal divergence onto a structural closeness matrix derived from a minimal dictionary of Poincare occupancy grids. By employing partial least squares regression, we extract a latent geometric component calibrated directly to the empirical finite-time Lyapunov spectrum, yielding the Poincare-based geometric-guided FTLE. Validation against analytical QR-FTLE baselines confirms that fusing topological state spaces with predictive divergence systematically improves continuous transition tracking. The Structural Similarity Index optimally resolves gradual damping, while Hausdorff Distance exhibits extreme resilience during abrupt phase-space collapses. Furthermore, macroscopic spatial discretization acts as a robust topological regularizer against additive Gaussian noise, preserving deterministic signatures even at moderate signal thresholds. This equation-free framework provides a highly accurate, noise-resilient diagnostic for monitoring structural transitions in complex non-stationary systems.