Information-theoretical analysis of statistical measures for multiscale dynamics.

Multiscale entropy (MSE) has been widely used to examine nonlinear systems involving multiple time scales, such as biological and economic systems. Conversely, Allan variance has been used to evaluate the stability of oscillators, such as clocks and lasers, ranging from short to long time scales. Although these two statistical measures were developed independently for different purposes in different fields, their interest lies in examining the multiscale temporal structures of physical phenomena under study. We demonstrate that from an information-theoretical perspective, they share some foundations and exhibit similar tendencies. We experimentally confirmed that similar properties of the MSE and Allan variance can be observed in low-frequency fluctuations (LFF) in chaotic lasers and physiological heartbeat data. Furthermore, we calculated the condition under which this consistency between the MSE and Allan variance exists, which is related to certain conditional probabilities. Heuristically, natural physical systems including the aforementioned LFF and heartbeat data mostly satisfy this condition, and hence, the MSE and Allan variance demonstrate similar properties. As a counterexample, we demonstrate an artificially constructed random sequence, for which the MSE and Allan variance exhibit different trends.

Analysis of temporal structure of laser chaos by Allan variance.

Allan variance has been widely utilized for evaluating the stability of the time series generated by atomic clocks and lasers, in time regimes ranging from short to extremely long. This multiscale examination capability of the Allan variance may also be beneficial in evaluating the chaotic oscillating dynamics of semiconductor lasers- not just for conventional phase stability analysis. In the present study, we demonstrated Allan variance analysis of the complex time series generated by a semiconductor laser with delayed feedback, including low-frequency fluctuations (LFFs), which exhibit both fast and slow dynamics. While the detection of LFFs is difficult with the conventional power spectrum analysis method in the low-frequency regime, the Allan variance approach clearly captured the appearance of multiple time-scale dynamics, such as LFFs. This study demonstrates that Allan variance can help in understanding and characterizing diverse laser dynamics, including LFFs, spanning a wide range of timescales.