Investigating observability properties from data in nonlinear dynamics.

Investigation of observability properties of nonlinear dynamical systems aims at giving a hint on how much dynamical information can be retrieved from a system using a certain measuring function. Such an investigation usually requires knowledge of the system equations. This paper addresses the challenging problem of investigating observability properties of a system only from recorded data. From previous studies it is known that phase spaces reconstructed from poor observables are characterized by local sharp pleatings, local strong squeezing of trajectories, and global inhomogeneity. A statistic is then proposed to quantify such properties of poor observability. Such a statistic was computed for a number of bench models for which observability studies had been previously performed. It was found that the statistic proposed in this paper, estimated exclusively from data, correlates generally well with observability results obtained using the system equations. It is possible to arrive at the same order of observability among the state variables using the proposed statistic even in the presence of noise with a standard deviation as high as 10% of the data. The paper includes the application of the proposed statistic to sunspot time series.