mlsanityData to 14 Oct 2026

FEG-Pro: Forecast-Error Growth Profiling for Finite-Horizon Instability Analysis of Nonlinear Time Series

arXiv 2605.17282 ↗First posted 17 May 2026nlin.CD cs.LG math.DScited by 1

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Abstract (arXiv)

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.

Key facts. Cited by 1 paper in the map (data through 14 Oct 2026). Builds on 8 of its 44 references that are in the map. First posted on arXiv 17 May 2026.

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8 of 44 references.

References · 8

  1. 2019catch22: CAnonical Time-series CHaracteristicscited by 105
  2. 2017Feature-based time-series analysiscited by 28
  3. 2022Ensemble Conformalized Quantile Regression for Probabilistic Time Series Forecastingcited by 27
  4. 2021Massive feature extraction for explaining and foretelling hydroclimatic time series forecastability at the global scalecited by 7
  5. 2025A Novel Approach for Estimating Largest Lyapunov Exponents in One-Dimensional Chaotic Time Series Using Machine Learningcited by 6
  6. 2022Feature-Based Time-Series Analysis in R using the theft Packagecited by 4
  7. 2025Mamba time series forecasting with uncertainty quantificationcited by 2
  8. 2026Optimizing Parallel Schemes with Lyapunov Exponents and kNN-LLE Estimationcited by 1

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