ON STRONGLY NONLINEAR AUTOREGRESSIVE MODELS: IMPLICATIONS FOR THE THEORY OF TRANSIENT AND STATIONARY RESPONSES OF MANY-BODY SYSTEMS

摘要

Two widely used concepts in physics and the life sciences are combined: mean field theory and time-discrete time series modeling. They are merged within the framework of strongly nonlinear stochastic processes, which are processes whose stochastic evolution equations depend self-consistently on process expectation values. Explicitly, a generalized autoregressive (AR) model is presented for an AR process that depends on its process mean value. Criteria for stationarity are derived. The transient dynamics in terms of the relaxation of the first moment and the stationary response to fluctuations in terms of the autocorrelation function are discussed. It is shown that due to the stochastic feedback via the process mean, transient and stationary responses may exhibit qualitatively different temporal patterns. That is, the model offers a time-discrete description of many-body systems that in certain parameter domains feature qualitatively different transient and stationary response dynamics.