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# Survival of Φ₀/2 periodicity in presence of incoherence in asymmetric Aharonov-Bohm rings

## Abstract

Magneto conductance oscillations periodic in flux with periodicity $`\mathrm{\Phi }_0`$ and $`\mathrm{\Phi }_0/2`$ are seen in asymmetric Aharonov-Bohm rings as a function of density of electrons or Fermi wave vector. Dephasing of these oscillations is incorporated using a simple approach of wave attenuation. In this work we study how the excitation of the $`\mathrm{\Phi }_0/2`$ oscillations and the accompanying phase change of $`\pi `$ are affected by dephasing. Our results show that the $`\mathrm{\Phi }_0/2`$ oscillations survive incoherence, i.e., dephasing, albeit with reduced visibility while incoherence is also unable to obliterate the phase change of $`\pi `$.

D. Electron Transport, A. Nanostructures, D. Aharonov-Bohm oscillations, D. Dephasing

The $`\mathrm{\Phi }_0/2`$ periodicity was a puzzle in mesoscopic physics in its early days. Among the first experimentssharvin  which were purported to measure the magneto resistance oscillations in normal metal cylinders, observed a $`\mathrm{\Phi }_0/2`$ periodicity. However, theoretical calculationsth ; butipra ; gefenprl  on strictly one-dimensional normal metal ballistic rings argued that only $`\mathrm{\Phi }_0`$ periodicity should be observed. The experiment which observed these $`\mathrm{\Phi }_0/2`$ oscillations were backed by theoretical work which predicted these based on weak localizationAAS ; wash . In the recent works of Pedersen, et.al.,peders  and Hansen, et.al.,hansen , the AB effect in a one dimensional $`GaAs/Ga_{0.7}Al_{0.3}As`$ ring at low magnetic fields has been investigated. In their work they observe the fundamental $`\mathrm{\Phi }_0`$ periodicity in the magneto-conductance as expected. Moreover, as the density (in effect the Fermi energy) is varied they observe phase shifts of $`\pi `$ in the magneto conductance oscillations and $`\mathrm{\Phi }_0/2`$ periodicity at particular values of the Fermi energy. They have found good agreement of their results with the completely phase coherent transport theorysquid  of electrons in an asymmetric Aharonov-Bohm ring in the single channel regime. Asymmetry of the AB ring was crucial in understanding these observations. Such behavior has also been observed in an earlier experimentyacoby , and has generated a lot of interest in relation to the problem of phase measurement.

The endeavor of this work is not on the origin of the $`\mathrm{\Phi }_0/2`$ periodicity but on the effect of inelastic or phase breaking scattering on these. Our results indicate that the phase shift of $`\pi `$ in AB oscillations and halving of the fundamental $`h/e`$ periodicity survives in-spite of dephasing albeit with reduced visibility in AB oscillations. There are many ways to phenomenologically model inelastic scattering in mesoscopic devices. Among the first was by Büttiker butinelas who considered an electron reservoir coupled by a lead to a mesoscopic system as a phase breaker or inelastic scatterer (voltage probe). This approach has been widely used to investigate the effect of dephasing on the conductance. This method which uses voltage probes as dephaser’s is interesting because of it’s conceptual clarity and it’s close relation to experiments. It provides a useful trick to simulate lack of full coherence in transport properties. This method of addressing the problem of dephasing has the advantage that inelastic phase randomizing processes can be incorporated by solving an elastic time independent scattering problem. Beyond Büttiker’s model, optical potential,ferry ; jayan  and wave attenuation (stochastic absorption) models colin ; joshi  have also been used to simulate dephasing. However in the aforesaid models energy relaxation and thermal effectsmortensen  are ignored. Thermal effects can be incorporated by taking into account thermal distribution (Fermi-Dirac function) of electrons. In mesoscopic systems, transmission functions are more often than not constant over the energy range wherein transport occurs (at low temperatures) and one can ignore energy relaxation or “vertical flow”datta  of electron carrier’s in these systems. Brouwer and Beenakker have corrected some of the problems associated with voltage probe and optical potential models, (see Refs.\[brouwer, ; colin, \] for details), and given a general formalism for calculating the conductance(G) in the presence of inelastic scattering. Furthermore, methods based on optical potentials and wave attenuation can make use of this above formalism. In this work we use the method of wave attenuation.

This method of wave attenuation has been used earlier to study dephasing of AB oscillationscolin  and calculating sojourn times in quantum mechanicscolinssc . The wave attenuation model has been shown to be better than the optical potential model (which has in built spurious scattering)colin . We use the well known S-Matrix method to calculate the conductance and therein we see the $`\mathrm{\Phi }_0/2`$ periodicity as also the phase change of $`\pi `$ across such an excitation of the $`h/2e`$ oscillations. The system we consider, is shown in FIG. 1, is an asymmetric Aharonov-Bohm loop with upper and lower arm lengths $`l_1`$ and $`l_2`$ and circumference $`L=l_1+l_2`$, coupled to two leads which in turn are connected to two reservoirs at chemical potentials $`\mu _1`$ and $`\mu _2`$. Inelastic scattering is assumed to be absent in the leads while it is present in the reservoirs, and in the loop we introduce incoherence via wave attenuation to simulate inelastic scattering. The S matrix for the left coupler yields the amplitudes $`O_1=(\alpha _1^{},\beta _1^{},\gamma _1^{})`$ emanating from the coupler in terms of the incident waves $`I_1=(\alpha _1,\beta _1,\gamma _1)`$, and for the right coupler yields the amplitudes $`O_2=(\delta _2^{},\beta _2^{},\gamma _2^{})`$ emanating from the coupler in terms of the incident waves $`I_2=(\delta _2,\beta _2,\gamma _2)`$. The S-matrix for either of the couplersbutipra  is given by-

$$S=\left(\begin{array}{ccc}(a+b)& \sqrt{ϵ}& \sqrt{ϵ}\\ \sqrt{ϵ}& a& b\\ \sqrt{ϵ}& b& a\end{array}\right)$$

with $`a=\frac{1}{2}(\sqrt{(12ϵ)}1)`$ and $`b=\frac{1}{2}(\sqrt{(12ϵ)}+1)`$. Herein, $`ϵ`$ plays the role of a coupling parameter. The maximum coupling between reservoir and loop is $`ϵ=\frac{1}{2}`$, and for $`ϵ=0`$, the coupler completely disconnects the loop from the reservoir. Inelastic scattering in the arms of the AB interferometer is taken into account by introducing an attenuation constant per unit length in the two arms of the ring, i.e., the factors $`e^{\alpha l_1}`$ (or $`e^{\alpha l_2}`$) in the free propagator amplitudes, every time the electroncolin ; datta  traverses the upper (or lower) arms of the loop (see Fig. 1).

The waves incident into the branches of the loop are related by the S Matrices cahay for upper branch by-

$$\left(\begin{array}{c}\beta _1\\ \beta _2\end{array}\right)=\left(\begin{array}{cc}0& e^{ikl_1}e^{\alpha l_1}e^{\frac{i\theta l_1}{L}}\\ e^{ikl_1}e^{\alpha l_1}e^{\frac{i\theta l_1}{L}}& 0\end{array}\right)\left(\begin{array}{c}\beta _1^{}\\ \beta _2^{}\end{array}\right)$$

and for lower branch-

$$\left(\begin{array}{c}\gamma _1\\ \gamma _2\end{array}\right)=\left(\begin{array}{cc}0& e^{ikl_2}e^{\alpha l_2}e^{\frac{i\theta l_2}{L}}\\ e^{ikl_2}e^{\alpha l_2}e^{\frac{i\theta l_2}{L}}& 0\end{array}\right)\left(\begin{array}{c}\gamma _1^{}\\ \gamma _2^{}\end{array}\right)$$

These S matrices of course are not unitary $`S(\alpha )S(\alpha )^{}1`$ but they obey the duality relation $`S(\alpha )S(\alpha )^{}=1`$. Here $`kl_1`$ and $`kl_2`$ are the phase increments of the wave function in absence of flux. $`\frac{\theta l_1}{L}`$ and $`\frac{\theta l_2}{L}`$ are the phase shifts due to flux in the upper and lower branches. Clearly, $`\frac{\theta l_1}{L}+\frac{\theta l_2}{L}=\frac{2\pi \mathrm{\Phi }}{\mathrm{\Phi }_0}`$, where $`\mathrm{\Phi }`$ is the flux piercing the loop and $`\mathrm{\Phi }_0`$ is the flux quantum$`\frac{hc}{e}`$. The transmission and reflection coefficients are given as follows- $`T_{21}=|\frac{\delta _2^{}}{\alpha _1}|^2`$, $`R_{11}=|\frac{\alpha _1^{}}{\alpha _1}|^2`$, $`R_{22}=|\frac{\delta _2^{}}{\delta _2}|^2`$, $`T_{12}=|\frac{\alpha _1^{}}{\delta _2}|^2`$ wherein wave amplitudes $`\delta _2^{},\delta _2,\alpha _1^{},\alpha _1`$ are as depicted in FIG. 1.

The transmission coefficient $`T_{21}`$ from reservoir 1 to 2 is not symmetric under flux reversal which is in contradiction with Onsager’s symmetry condition, and is due to the fact that current conservation as also unitarity have been violated (due to wave attenuation). As, is well known there can be real absorption of photons but there cannot be any real absorption of electrons. The absorption is interpreted as electron scattering into different energy channels and the way these electrons are re-injected back into the system becomes importantbutiprama ; pareek . Following the earlier treatments (see the details in Refs. \[brouwer, ; colin, \]), the conductance in dimensionless form after proper re-injection of carriers is given by -

$`G=T_{21}+{\displaystyle \frac{(1R_{11}T_{21})(1R_{22}T_{21})}{1R_{11}T_{21}+1R_{22}T_{12}}}.`$ (1)
The first term in Eq. 1, i.e., $`T_{21}`$ represents the phase coherent contribution, while the second term accounts for electrons that are re-injected after inelastic scattering. This represents the phase incoherent contribution to the conductance. $`G`$ respects Onsager’s symmetry $`G(\mathrm{\Phi })=G(\mathrm{\Phi })`$, and thus the phase of AB oscillations can only changeyacoby  by $`\pm \pi `$.

As previously mentioned our interest in this work is to observe the effect of incoherence on the $`\mathrm{\Phi }_0/2`$ oscillations in single channel ballistic rings. We choose an asymmetric AB ring with degree of asymmetry denoted by the difference in arm lengths $`\mathrm{\Delta }=l_1l_2=0.15`$, and circumference $`L=1.0`$ in accordance with the experimental realization as in Ref. \[peders, \]. The change in Fermi energy of injected electrons implies varying the density of electrons in the system. So, when we scan the whole range of the dimensionless wave vector $`k_fL`$ from $`0.0`$ to $`200.0`$ we come across $`\mathrm{\Phi }_0/2`$ periodicities at particular values of the Fermi wave vector $`k_fL`$, notably at $`10.83,114.8302`$ and $`136.5`$. We now restrict ourselves to the particular range(Fermi energy) and parameters (length’s and coupling) corresponding to the experimental situation studied earlier as in Refs. \[peders, ; hansen, \]. In our treatment $`\alpha `$ represents the incoherence parameter (degree of dephasing). The plot of the dimensionless conductance $`G`$ as a function of flux in the range $`104.0k_fL124.0`$, with degree of incoherence $`\alpha =0`$ is shown in FIG. 2(a). Similarly in FIG. 2(b) and 2(c) we plot $`G`$ for $`\alpha =0.3`$ and $`\alpha =0.5.`$, for the same system parameters and range of $`k_fL`$. The plots for $`k_fL>104.0`$ are each shifted by a factor of 1 for clarity. The $`\mathrm{\Phi }_0/2`$ periodicities are clearly marked at $`k_fL=114.8302`$, and also across this range of $`k_fL`$ and excitation of the $`h/2e`$ harmonic, phase changes by $`\pi `$. Thus phase shift of $`\pi `$ along with halving of the fundamental $`h/e`$ period is clearly seen as a function of Fermi-wavevector (density) consistent with the experimental observations. Importantly, this observed behavior survives dephasing with reduced visibility, therefore the observed results need not be attributed to complete phase coherence in the system. One conclusion which can be drawn from the afore drawn figures is that incoherence reduces the visibility of AB oscillations as expected. However, this dephasing is unable to shift the position of the $`\mathrm{\Phi }_0/2`$ oscillations noticeably, for the chosen coupling parameter.

The reason why we observe $`\mathrm{\Phi }_0/2`$ periodic oscillations at these particular values of $`k_fL`$ is because at these values both $`h/e`$ as well as $`h/3e`$ harmonics are extremely weak as also the higher harmonics and therefore exclusive $`\mathrm{\Phi }_0/2`$ oscillations are seen. The $`k_fL`$ values wherein exclusive $`\mathrm{\Phi }_0/2`$ oscillations are seen are at $`k_fL=10.8335,114.8302`$ and $`136.5`$, in the range $`0.0<k_fL<200.0`$ for the same physical parameters. In FIG.3(a),(b) and (c), we plot the harmonics as a function of the dimensionless Fermi wave-vector $`k_fL`$ for $`\alpha =0.0,0.3`$ and $`0.5`$. The harmonics are calculated as follows-

$`a_n={\displaystyle \frac{1}{\pi }}{\displaystyle _0^{2\pi }}Gcos(n\theta )𝑑\theta `$ (2)
At the ’$`k_fL`$’ value, wherein $`\mathrm{\Phi }_0/2`$ oscillations dominate, the first and third harmonic’s do not contribute at all to the conductance as can be seen from the FIG’s.3(a)-(c). We observe that increasing dephasing ($`\alpha `$) does not noticeably shift the ’$`k_fL`$’ value, wherein $`\mathrm{\Phi }_0/2`$ oscillations dominate. We also see that the higher harmonic $`a_3=h/3e`$ goes faster to zero and therefore these contributions are washed out and $`\mathrm{\Phi }_0/2`$ oscillations survive dephasing albeit with reduced strengths. The fact that the Fermi-wavevector $`k_fL`$ (at which $`\mathrm{\Phi }_0/2`$ oscillations occur) does not noticeably shift is peculiar to the coupling parameter chosen, which for the above cases is $`0.5`$(maximal coupling). However, for some other physical parameters there may be a small shift in Fermi-wavevector $`k_fL`$ with increasing incoherence. For example, for the case $`ϵ=0.44`$ (waveguide coupling) the $`\mathrm{\Phi }_0/2`$ oscillations are observed at $`k_fL=52.0`$ at $`\alpha =0.0`$, for the same length parameters as in FIG. 2, but when this incoherence parameter is increased we see these oscillations are shifted to different values of $`k_fL`$, e.g., for $`\alpha =0.5`$ these are seen at $`k_fL=51.95`$. For this coupling too we indeed observe phase change of $`\pi `$ in AB oscillations along with period halving, consistent with our previous observations. Shifts in Fermi-wavevector are small for maximal coupling but when coupling strength is decreased these shifts become more noticeable.

In conclusion, we have observed $`\mathrm{\Phi }_0/2`$ oscillations as we vary the density of electrons which is similar to varying the Fermi wave vector consistent with experimental observations. The $`\mathrm{\Phi }_0/2`$ oscillations are shifted by dephasing (noticeably small for maximal coupling), apart from the reduction of their strengths. The phase change of $`\pi `$ which occurs across the excitation of $`h/2e`$ oscillations is seen to be independent of dephasing. Thus complete phase coherence of electron over the entire sample is not necessary to observe these effects.

###### Acknowledgements.

One of us SB thanks the Institute of Physics, Bhubaneswar for hospitality.


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# Instanton Contribution to the Proton and Neutron Electric Form Factors

## I Introduction

Electro-magnetic form factors provide valuable information about the structure of hadrons and the strong interaction dynamics. At low momenta, they directly probe the electric and magnetic charge distribution inside the hadron. In general, the form factors are related to the elastic amplitude for a given hadron to absorb a virtual photon. Thus, one can access the interaction responsible for the recombination of the partons into the hadron.

The electro-magnetic form factors of the nucleon are currently subject to a renewed experimental interest. At low momenta, the proton electric and magnetic form factors can be very well described by the same dipole fit, $`G_{E(M)dip}^p=e(\mu )/(1+Q^2/M_{dip}^2)^2`$, where $`M_{dip}=0.84\text{GeV}`$. For larger momenta ($`Q^22\text{GeV}^2`$), however, recent measurements at JLab show that the electric form factor falls off faster than the magnetic one JLAB1 ; JLAB2 . On the other hand, the electric form factor of the neutron has been measured up to $`Q^22\text{GeV}^2`$ NGE1 ; NGE2 ; NGE3 ; NGE4 ; NGE5 ; NGE6 ; NGE7 . It was found to be positive, which indicates an inhomogeneous distribution of the positive and the negative charge in the neutron, with the positive charge concentrated near the center.

From the theoretical point of view, the nucleon form factor is one of the few hadronic quantities of fundamental importance. Perturbative QCD (pQCD) predicts power asymptotics $`G1/Q^4`$ BF  related to the minimal number (two) of exchanged gluons, which agrees with data. However, the coefficient which is related to the so-called light cone nucleon wave function (see e.g. CZ ) does not agree with the pQCD asymptotics. This gives rise to the question whether it is actually described by pQCD at all in the experimentally reached region.

The situation for the charged pion form factor is similar. The power of Q matches pQCD, but the coefficient does not, although it is well known asymptotically. Therefore, it must be produced by some non-perturbative effect. In our recent paper pionFF , we have calculated the instanton contribution to the pion form factor using the simplest single instanton approximation (SIA). This led to a very good description of the data, without any new parameters involved. In fact, the only relevant parameter is the average instanton size in the QCD vacuum. We further found that the contribution from a single instanton exceeds the one of asymptotic pQCD in a rather wide region $`Q^210\text{GeV}^2`$ accessible to current experiments. Moreover, the form factor of the pion was found to follow closely the well-known vector dominance monopole expression.

It is the guiding motivation of the current investigation to see whether the dipole form of the proton electric form factor can also be explained using instantons. One possible motivation comes from the similarity between the pion and the scalar diquark channel, i.e., the $`ud`$ content of the nucleon. This similarity becomes exact in two color QCD and approximate (up to a factor $`1/2`$) for three colors in the instanton context (see e.g. the discussion in RSSV ). More formally, we find that the nucleon form factor also receives contributions from maximally enhanced instanton diagrams with two zero modes. In contrary, e.g., the form factor of the delta does not receive similar maximal instanton contributions. In fact, in the SIA it vanishes. As the main result of this investigation, we indeed find that the proton electric form factor at intermediate momentum transfer $`Q^214\text{GeV}^2`$ is well reproduced by the single instanton contribution with the same standard parameters of the instanton ensemble.

There are a number of other interesting questions which emerge from the experimental information on the proton form factors. For example, one would like to understand why the low $`Q^2`$ data for both $`G_E^p(Q^2)`$ and $`G_M^p(Q^2)`$ follow the same dipole fit. In the case of the pion form factor, the success of the monopole fit can be understood in terms of vector meson dominance. However, there is not such a simple picture which can explain the dipole behavior of the proton form factors, although the mass in the dipole fit, $`M_{dip}`$, is close to the vector meson mass.

There are also interesting theoretical questions arising form the data for the neutron form factor. The fact that the electric form factor is non-zero is a clean signature that a naive non-relativistic quark model description based on $`SU(6)`$ symmetry is inadequate for the dynamic properties of the nucleon. It is then remarkable that such a picture works so well in describing the neutron to proton magnetic moment ratio. Clearly, in order to solve this puzzle, we need to understand what is the main source of $`SU(6)`$ breaking in the neutron wave function.

Such questions have been addressed in a number of phenomenological models as well as in lattice simulations martinelli ; draper . In particular, we discuss two recent works which are related to our analysis. Dong *et al.* calculated the proton and neutron form factors in lattice QCD and studied the sea quark contribution Lattice1  which is due to disconnected diagrams. It was found that the proton electric form factor can be very well reproduced by the connected components of the relevant Green functions, with the contribution of the sea being negligible. On the other hand, the connected contribution accounts for roughly only half of the neutron electric form factor. Therefore, their analysis shows that the sea cannot account for the entire $`SU(6)`$ breaking observed in the neutron wave function.

Ma *et al.* considered a different source of $`SU(6)`$ breaking LFdiquark . They calculated the form factors of the nucleon in a simple quark-diquark model, in which relativistic covariance is enforced by using the light front dynamics formalism. In this model, they considered trial wave functions depending on phenomenological parameters, which were fixed in order to reproduce the static properties of the nucleon. By varying such parameters, they could tune the amount of $`SU(6)`$ breaking in their valence picture. They found that such a simple model can reproduce very well the existing data for the form factors of the nucleon up to $`Q^22\text{GeV}^2`$. Moreover, in this model, the ratio $`G_E^p/G_M^p`$ at high momenta is a consequence of the relativistic correlation between the spin and the momentum of the constituents.

We now come back and discuss the significance of the instanton contribution to the neutron and proton electric form factors. Instantons are topologically non-trivial solutions of the Euclidean Yang-Mills equation of motion. Physically, they describe tunneling events in the QCD vacuum and are associated with strong non-perturbative color fields. Form factors are amplitudes of a hadron retaining its identity after large momentum transfers and the strong fields of the instantons may transfer momentum between several quarks at once. Furthermore, instanton zero modes lead to a special importance of instantons for any problems involving light fermions, especially in spin-zero channels such as pions or diquarks.

In the Instanton Liquid Model (ILM) (for a review see shuryakrev ), the QCD partition function is assumed to be saturated by an ensemble of instantons and anti-instantons of a typical size, $`\rho 1/3\text{fm}`$, and a typical density, $`n1\text{fm}^4`$. Previous works have shown that the ILM describes quantitatively the spectrum of the light mesons corrmesons  and baryons corrbaryons . The instanton induced interaction is effective only between quarks of different flavor and chirality. This implies that, in the nucleon, only two quarks can be bound by the ’t Hooft interaction, while the third one is more loosely bound. Indeed, it was shown corrbaryons  that the $`u`$ and $`d`$ quark in the nucleon form a bound state, a scalar diquark with a mass comparable to that of a constituent quark. This analysis provided a microscopic motivation for the quark-diquark model of the nucleon.

There are, however, some differences between the quark-diquark picture which emerges from the ILM and the simplest phenomenological model described above. For example, Ma *et al.* considered a nucleon wave function with an equal mixture of a scalar and a vector diquark LFdiquark , while the ’t Hooft interaction generates a scalar diquark only. Moreover, in LFdiquark , the diquark is treated as a point-like particle, while in the ILM its size has been estimated to be approximately $`0.4\text{fm}`$ 3ptILM . Finally, in the ILM it is possible to account for the contribution of the meson cloud and the sea quarks simultaneously, both contributing to the $`SU(6)`$ symmetry breaking of the nucleon wave function.

In a previous work, two of the authors calculated the proton electro-magnetic three-point function in coordinate space 3ptILM  both from numerical simulations in the ILM, i.e., including multi-instanton effects, and analytically in the SIA. The Green function evaluated theoretically was then compared to a phenomenological one derived from the Fourier transform of several parametrizations of the experimental data. This approach had the advantage to consider large-sized correlation functions, for which the contribution of the continuum of excitations was certainly negligible. However, such a procedure has the shortcoming that it does not allow a direct comparison to the experimental data. From a theoretical point of view, the main result was that the proton electro-magnetic three-point function is completely dominated by the contribution of a single instanton, up to surprisingly large distances of $`1.8\text{fm}`$. From a phenomenological point of view, it was shown that the ILM predictions are consistent with a deviation of $`G_E^p`$ from the dipole fit. This is in nice agreement with the result obtained by Ma *et al.* in their simple model.

In the present work we develop a much simpler single instanton calculation, based on the time-momentum correlators used in pionFF  and mymasses . Such a scheme accounts for the leading single instanton effects. The calculation is physically very transparent and presents several analogies with perturbation theory. Moreover, we compare directly to the experimental data. In the pion and nucleon channel, the single instanton contribution is certainly dominant for hadronic processes at intermediate momenta, $`Q^21\text{GeV}^2`$. Moreover, it constitutes the relevant gluonic configurations, which take over with the breakdown of perturbation theory.

We have not calculated the contribution of the quark sea (the disconnected diagrams) to the form factor, but argue it to be small, roughly $`1/10`$ of the proton form factor and half of the neutron form factor. We will proceed by describing the details of our calculation. In section III, we show our results and close by discussing the physical implications.

## II Calculational Setup

For the determination of the electric form factors of the nucleon, we follow the method used in the calculation of the charged pion electro-magnetic form factor pionFF . In the wall-to-wall (W2W) formalism, the electric form factors can be extracted from a combination of three- to two-point functions. In particular, we choose to work in the Breit frame and consider the following spatial Fourier transform of the Euclidean three-point correlator

$`G_4(t,𝐪/2;t,𝐪/2)={\displaystyle d^3𝐱d^3𝐲e^{i𝐪(𝐱+𝐲)/2}0|\text{Tr}\eta _{\text{sc}}(t,𝐲)J_4(0,\mathrm{𝟎})\overline{\eta }_{\text{sc}}(t,𝐱)\gamma _4|0}.`$ (1)
$`J_4`$ is the fourth component of the electro-magnetic current operator and $`\eta _\text{s}(x)`$ is the so-called nucleon scalar current which, in the case of the proton, reads 111We note that the nucleon scalar current contains explicitly the operator which excites a scalar $`ud`$ diquark. It is this combination that couples strongly to the instanton zero modes. The corresponding operator for the neutron is obtained through the substitution $`ud`$.

$`\eta _\text{s}(x)=ϵ_{abc}[u^a(x)C\gamma _5d^b(x)]u^c(x).`$ (2)
Accordingly, we evaluate the Fourier transform of the nucleon two-point given by

$`G(t,𝐪)={\displaystyle d^3𝐱e^{i𝐪𝐱}0|\text{Tr}\eta _{\text{sc}}(t,𝐱)\overline{\eta }_{\text{sc}}(0)\gamma _4|0}.`$ (3)
In both Eq. (1) and (3), the additional $`\gamma _4`$ has been inserted in order for the correlators to receive maximal single-instanton contribution (see the discussion in 3ptILM  and below).

For large Euclidean times, one can isolate the contribution of the lowest lying state to the Green function

$`G_4^{p(n)}(t,𝐪/2;t,𝐪/2)2\mathrm{\Lambda }_{\text{sc}}^2\left({\displaystyle \frac{M}{\omega _{𝐪/2}}}\right)^2G_\text{E}^{p(n)}(Q^2)e^{2\omega _{𝐪/2}t},`$ (4)
where $`G_\text{E}^{p(n)}(Q^2)`$ denotes the proton (neutron) electric form factor and $`\mathrm{\Lambda }_{sc}`$ the coupling of the scalar current, Eq. (2), to the nucleon. The nucleon pole in the two-point function is similarly reached

$`G(t,𝐪)2\mathrm{\Lambda }_{\text{sc}}^2e^{\omega _𝐪t}.`$ (5)
In order to calculate the instanton contribution to such correlation functions, we use the SIA, which was introduced in shuryak82  and studied in detail in SIA . In such an approach, only the contribution from the closest instanton is taken explicitly into account, while the effects of the other instantons are incorporated in two induced parameters, the quark effective mass, $`m^{}85\text{MeV}`$, and the average instanton density, $`\overline{n}1\text{fm}^4`$.

The quark propagator in the instanton background is known exactly SIprop  and consists of a zero-mode part and a non-zero mode part, $`S^I(x,y)=S_{zm}^I(x,y)+S_{nzm}^I(x,y)`$. We showed that the SIA is reliable only if the relevant Green functions receive contribution from more than one zero-mode propagator SIA . In fact, the additional $`\gamma _4`$ matrix in Eq. (1) and (3) has been inserted in order to guarantee such an enhancement.

In this work, we choose to further simplify the calculation by adapting the so called ”zero-mode approximation”, in which the non-zero mode part of the propagator is replaced by the free one, $`S^I(x,y)S_{zm}^I(x,y)+S_0(x,y)`$. This approximation is accurate in the case of the nucleon three- and two-point functions which we are considering 3ptILM . Finally, it is convenient to work directly in a time-momentum representation for the Green functions. This is achieved by using the W2W quark propagators evaluated in pionFF . Two typical diagrams contributing to the connected three-point function, Eq. (1), in the SIA are shown in Fig. 1 (A) and (B). Due to the chiral and flavor structure of the instanton induced interaction, the zero modes are restricted to the $`u`$ and $`d`$ quark inside the nucleon. This reduces the possible diagrams to the structure depicted in Fig. 1 (A) and (B) and a similar diagram with the instanton to the right. The total contribution is nevertheless still quite involved due to the charge conjugation matrix in the nucleon currents. The interpretation is that in diagram (A) of Fig. 1 the virtual photon probes the diquark content of the nucleon, whereas in diagram (B) the photon interacts with the residually bound quark.

After Wick contraction, the calculation of the three- and two-point functions, Eq. (1) and (3), reduces to evaluating the averages of traces of W2W propagators in the single instanton (and anti-instanton) background. The average involves an integration over the position, size and color orientation of the instanton. We approximate the instanton size distribution to be simply $`d(\rho )=\overline{n}\delta (\rho \overline{\rho })`$, with a typical instanton density, $`\overline{n}=1\text{fm}^4`$, and a typical instanton size, $`\overline{\rho }=1/3\text{fm}`$ taken from the ILM.222In pionFF , we evaluated the pion form factor using different parametrizations of the instanton size distribution. We found that the predictions obtained from such a simple delta-function ansatz agree within $`10\%`$ with those obtained using a parametrization of the lattice results for $`d(\rho )`$. In general, Wick contracting generates connected as well as disconnected averages.

The disconnected contribution, Fig. 1 (C), requires some discussion. Physically, it corresponds to the effects of the sea quarks on the form factor. In perturbation theory, this contribution is subleading at large $`Q`$ due to the additional gluon exchange required to transfer momentum from the struck sea quark to the valence one. In the instanton background field, this momentum transfer can occur via the instanton field itself 333The chiral structure of the instanton interaction requires a non-zero mode propagator for the sea quark loop. The free propagator used in the zero-mode approximation would lead to a vanishing contribution. and also leads to an extra suppression at large $`Q`$. The total momentum flowing into the sea quark loop $`𝐪`$ has to be transferred to the valence quarks, which leads to an extra “instanton form factor” $`\mathrm{exp}(\rho |𝐪|)`$ from the non-zero mode propagator in the sea quark loop. This small factor appears in addition to the form factors from the zero mode and non-zero mode propagators in the valence pieces.444These go as $`\mathrm{exp}(\rho |𝐪|/6)`$ since every valence quark has a total momentum $`|𝐪|/6`$ on average in the Breit frame.

Unfortunately, the evaluation of the W2W non-zero mode propagator is extremely involved and we refrain from calculating the contribution of the disconnected diagram, Fig. 1 (C). We will argue below that it is indeed a small contribution to the proton form factor.

In this work, we focus on the electric form factors of the proton and the neutron only, as they come from maximally enhanced diagrams. The instanton contribution to the magnetic form factors of the nucleon can be extracted from a different combination of the three- and two-point functions draper ; Lattice1 , which however receives only subleading contributions from a single instanton.

Once the Green functions are evaluated, the electric form factor can in principle be determined from the ratio of the three- to two-point correlators in the large Euclidean time limit, $`t\mathrm{}`$. However, in the approach of this work focused on a single instanton, one cannot choose the time interval to be arbitrarily large. In fact, as $`t`$ becomes comparable with the typical distance between instantons, $`\overline{n}^{1/4}=1\text{fm}`$, many-instanton effects should begin to play a non-negligible role and the SIA will eventually break down. The SIA calculation of the three- and two-point functions are compared to numerical simulations in the ILM in 3ptILM . We verified that the SIA calculation of the two-point correlator, Eq. (3), is reliable up to distances of $`0.9\text{fm}`$. On the other hand, we found that the single instanton contribution to the three-point function, Eq. (1), saturates the ILM results up to much larger distances of $`1.8\text{fm}`$.

In order to access the proton and neutron form factors, we need to ensure that, at the largest value of the Euclidean time allowed by the SIA, the nucleon pole is reasonably isolated in both the two- and three-point correlation functions. This was assured for the pion, essentially due to the large separation from its resonances. For the nucleon, this is a more delicate task, because the first resonance with the same quantum numbers, $`N(1440)`$, is only a few hundred MeV heavier than the ground state. This implies that larger time intervals are needed to separate their contributions. Therefore, it is a priori not guaranteed that there is a window, in which the SIA is reliable and the nucleon is isolated from its resonances.

In Fig. 2, we show the SIA results for the nucleon coupling and mass, obtained from a fit of the two-point function, Eq. (3), retaining only the ground state in the spectral decomposition, as in Eq. (5). We find that a plateau, which indicates the complete isolation of the proton signal, is obtained for $`t1\text{fm}`$. Moreover, as $`t`$ becomes larger than $`1.3\text{fm}`$, the single instanton contribution rapidly dies out and the approximation breaks down. Unfortunately, on the basis of the analysis developed in 3ptILM , we estimate the maximal time interval for which we can trust our two-point function SIA calculation to be $`t0.9\text{fm}`$.555We note that the total time interval in the three-point function is given by $`2t`$. This implies that, in our calculation, the nucleon is not completely isolated and we expect a small contamination of the correlation functions from excited states. From the two plots in Fig. 2, we estimate that such effects result in corrections of the order of $`10\%`$.

We extract the electric form factors from the ratio

$`2\mathrm{\Lambda }_{\text{sc}}^2(t)\left({\displaystyle \frac{\omega _{𝐪/2}(t)}{M(t)}}\right)^2{\displaystyle \frac{G_4^{p(n)}(t,𝐪/2,t,𝐪/\mathrm{𝟐},𝐭)}{(G(t,𝐪/2))^2}}G_E^{p(n)}(Q^2),`$ (6)
where $`\mathrm{\Lambda }_{\text{sc}}(t)`$, $`M(t)`$ and $`\omega _{𝐪/2}(t)=\sqrt{𝐪^2/4+M(t)^2}`$ denote the values extracted from a fit of the two point function $`G(t,𝐪/2)`$ keeping only the nucleon contribution in the spectral decomposition. The ratio of $`G_4(2t)/G(t)^2`$ ensures that both correlators can be calculated reliably in the SIA. The two factors of the two-point function are needed to sustain the nucleon pole over the total Euclidean distance $`2t`$ with a necessary $`t=0.9\text{fm}`$. It corresponds to the leading order in a virial expansion in the instanton density. This procedure is at the expense of a dependence on the multi-instanton induced parameters, namely the quark effective mass $`m^{}`$ and the average instanton density $`\overline{n}`$, or equivalently a dependence on the nucleon coupling $`\mathrm{\Lambda }_{\text{sc}}`$ and mass. For the pion form factor, it could be achieved that such a dependence cancels in the calculation, with only the average instanton size $`\overline{\rho }`$ remaining.

In Fig. 3, we give the resulting proton electric form factor in the SIA, obtained for different values of the Euclidean time. We observe that our outcome is nearly independent on the chosen time interval restricted to the SIA window. This indicates a cancellation between the small contribution from the excited states to the numerator and the denominator in Eq. (6).

## III Results and Discussion

The aim of the present calculation is to show that the dipole behavior of the proton electric form factor can be explained from the interaction of the quarks with the field of a single instanton. Our final result for $`G_E^p`$ is presented in Fig. 4 in comparison with the dipole fit.666At large momenta, the electric form factor of the proton is experimentally less well resolved than both its ratio to the magnetic one and the magnetic form factor itself. From the measurements at JLab JLAB1 ; JLAB2 , one finds that at $`Q^214\text{GeV}^2`$ the electric form factor is reduced by about $`2050\%`$ relative to the magnetic one, whereas the magnetic form factor is still reproduced by the dipole fit very well. The results show that the instanton-induced contribution can account for the correct magnitude of $`G_E^p`$. Thus, it should be included in any dynamical model. Whether there is indeed a direct relation between the nucleon form factor and instantons in the QCD vacuum can be further tested on the lattice, in many ways and on a configuration-per-configuration basis. We do not wish to claim that the SIA results have the accuracy to explain the high $`Q^2`$ precision data for the ratio of $`G_E^p/G_M^p`$. However, much more involved numerical simulations have shown that the ILM is consistent with the high momentum deviation of the proton electric form factor from the dipole fit 3ptILM .

The result for the neutron form factor is presented in Fig. 5 in comparison to the available experimental data and the lattice results of Dong *et al.* Lattice1 . As expected, the presence of a massive diquark generates an inhomogeneous charge distribution and leads to a positive form factor. However, in the instanton model, the masses of the scalar diquark and the constituent quark are not that different, which leads to a small neutron form factor. Furthermore, we observe that the connected component of the Green function accounts for roughly half of the form factor only. This is in qualitative agreement with lattice results, which also found that half of the neutron form factor comes from the disconnected diagrams we have neglected in the present calculation. This provides an estimate for its value and supports our assumptions that it is small compared to the proton form factor. In the instanton model it is subleading as explained above.

Summarizing, we have computed the single instanton contribution to nucleon electric form factors. We have carried out the calculations analytically in a window of momentum transfer in which the single instanton approximation can be used. The range of validity of the SIA for the nucleon was found to correspond to momentum transfers $`Q^214\text{GeV}^2`$. At smaller $`Q^2`$, multi-instanton effects appear, and at larger $`Q^2`$, there are admixtures of excited states (see the discussion in mymasses ). Already the existence of such a window for the nucleon in the SIA is highly non-trivial due to the presence of a rich and close spectrum of excited states. The only other hadron for which this was shown to be the case is the pion pionFF . The physical reason is that the (single) instanton induces a compact quark-diquark structure of the nucleon. Other baryons, such as the decouplet members, do not have such a structure and thus are expected to have smaller form factors. For numerical results we used the standard parameters of the instanton ensemble shuryak82 , fixed 20 years ago. A similar analysis of the proton to delta transition form factors is in preparation Ndelta .


text:
# Generalized Singular Spectrum Time Series Analysis

## Abstract

This paper is a study of continuous time Singular Spectrum Analysis (SSA). We show that the principal eigenfunctions are solutions to a set of linear ODEs with constant coefficients. We also introduce a natural generalization of SSA, constructed using local (Lie-) transformation groups. The time translations used in standard SSA is a special case. The eigenfunctions then satisfy a simple type of linear ODE with time dependent coefficient, determined by the infinitesimal generator of the transformation group. Finally, more general one parameter mappings are considered.

Singular Spectrum Analysis (SSA) is a relatively recent method for nonlinear time series analysis. The original idea behind SSA was first presented by Broomhead and King , in the context of time series embedding. During the last decade this technique has been very successful and has become a standard tool in many different scientific fields, such as climatic , meteorological , and astronomical  time series analysis. For introductions to the SSA technique, see e.g., .

In practical applications, a time series is a result of a sampled measurement, and is therefore discrete. This paper is a theoretical study of SSA, and it is therefore more natural to consider the general case of continuous time. We start the paper by a (semi) formal expansion of the SSA procedure to continuous time.

Let $`f(t)`$ be a function representing a continuous time signal on an interval $`\mathrm{\Omega }_T=[0,T]`$. We assume that $`f(t)_2(\mathrm{\Omega }_T)`$, where $`_2(\mathrm{\Omega }_T)`$ is a Hilbert space with an inner product defined as $`(f,g)_{\mathrm{\Omega }_T}=_{\mathrm{\Omega }_T}𝑑tf(t)\overline{g(t)}`$ and a norm $`f_\mathrm{\Omega }=\sqrt{(f,f)_\mathrm{\Omega }}`$. We define a trajectory function $`X(\xi ,t)`$

$`X(\xi ,t)`$ $`=`$ $`f(\xi +t)`$ (1)
where $`t\mathrm{\Omega }_W=[0,W]`$ and $`\xi \mathrm{\Omega }_{TW}=[0,TW]`$. The parameter $`W`$ is fixed and referred to as the window length. By construction $`X(\xi ,t)_2(\mathrm{\Omega }_{TW})\times _2(\mathrm{\Omega }_W)`$ and the norm is defined as $`X^2=_{\mathrm{\Omega }_{TW}}𝑑\xi _{\mathrm{\Omega }_W}𝑑tX(\xi ,t)\overline{X(\xi ,t)}`$.

A Schmidt decomposition (the continuous equivalent to a Singular Value Decomposition of a matrix) of the trajectory function is defied as

$`X(\xi ,t)`$ $`=`$ $`{\displaystyle \underset{k=1}{\overset{d}{}}}\sqrt{\lambda _k}v_k(\xi )u_k(t)`$ (2)
where $`d`$ is referred to as the rank (which is often infinite). All partial sums, $`k=1`$ to $`\stackrel{~}{d}`$, are optimal $`\stackrel{~}{d}`$-rank $`_2`$-approximations of $`X(\xi ,t)`$, i.e., the functions $`v_k(\xi )`$ and $`u_k(t)`$ fulfills

$`\underset{𝐮,𝐯}{\mathrm{min}}X(\xi ,t){\displaystyle \underset{k=1}{\overset{\stackrel{~}{d}}{}}}\sqrt{\lambda _k}v_k(\xi )u_k(t)`$ (3)
Without lost of generality, the functions $`v_k(\xi )`$ and $`u_k(t)`$ can be assumed to be normalized, $`u_k=v_k=1`$. Eq. 3 implies

$`v_k(\xi )`$ $`=`$ $`{\displaystyle \frac{1}{\sqrt{\lambda _k}}}{\displaystyle _{\mathrm{\Omega }_W}}𝑑tX(\xi ,t)\overline{u_k(t)}`$
$`u_k(t)`$ $`=`$ $`{\displaystyle \frac{1}{\sqrt{\lambda _k}}}{\displaystyle _{\mathrm{\Omega }_{TW}}}𝑑\xi X(\xi ,t)\overline{v_k(\xi )}`$ (4)
together with the orthogonality conditions $`(v_k,v_l)_{\mathrm{\Omega }_{TW}}=\delta _{kl}`$ and $`(u_k,u_l)_{\mathrm{\Omega }_T}=\delta _{kl}`$. The two relations in Eq. 4 can be combined into eigenvalue problems for the functions $`u_k(t)`$ respective $`v_k(\xi )`$

$`{\displaystyle _{\mathrm{\Omega }_W}}𝑑t^{}S(t,t^{})u_k(t^{})`$ $`=`$ $`\lambda _ku_k(t)`$
$`{\displaystyle _{\mathrm{\Omega }_{TW}}}𝑑\xi ^{}R(\xi ,\xi ^{})v_k(\xi ^{})`$ $`=`$ $`\lambda _kv_k(\xi )`$ (5)
where the $`t`$-covariance function $`S(t,t^{})`$ and the $`\xi `$-covariance function $`R(\xi ,\xi ^{})`$ are defined as

$`R(\xi ,\xi ^{})`$ $`=`$ $`{\displaystyle _{\mathrm{\Omega }_W}}𝑑tX(\xi ,t)\overline{X(\xi ^{},t)}`$
$`S(t,t^{})`$ $`=`$ $`{\displaystyle _{\mathrm{\Omega }_{TW}}}𝑑\xi X(\xi ,t)\overline{X(\xi ,t^{})}`$
From Eq. 5 it is clear that $`v_k(\xi )`$ and $`u_k(t)`$ are eigenfunctions to two compact, linear and symmetric integral operators $`R`$ and $`S`$ with kernels $`R(\xi ,\xi ^{})`$ and $`S(t,t^{})`$. The spectral theorem then guarantees $`v_k(\xi )`$ and $`u_k(t)`$ to form complete orthogonal bases in $`_2(\mathrm{\Omega }_{TW})/𝒩(R)`$ respective $`_2(\mathrm{\Omega }_T)/𝒩(S)`$ (where $`𝒩()`$ denotes a null-space). The eigenvalues $`\lambda _k`$ are real and non-negative, and measure the variance of $`X(\xi ,t)`$ in the “direction” defined by $`v_k(\xi )`$ and $`u_k(t)`$. Note the close correspondence to principal component analysis.

By construction, SSA decomposes the original time series into orthogonal components. Usually, the components also represent intuitive contributions to the time series, such as a trend, various oscillation modes and noise.

We start our analysis of the SSA technique by investigating signal separation into orthogonal subspaces. From now on, due to space limitations, we will focus our attention to the “right eigenmodes”, $`u_k(t)`$. By symmetry, equivalent results are valid for the “left eigenmodes”, $`v_k(\xi )`$. Assume that the time series can be decomposed as $`f(t)=_if_i(t)`$, where

$`{\displaystyle _{\mathrm{\Omega }_{TW}}}𝑑\xi f_i(t+\xi )f_j(t^{}+\xi )`$ $`=`$ $`C_1\delta _{ij}`$
$`{\displaystyle _{\mathrm{\Omega }_W}}𝑑tf_i(t+\xi )f_j(t+\xi ^{})`$ $`=`$ $`C_2\delta _{ij}`$ (6)
$`t,t^{}\mathrm{\Omega }_W,\xi ,\xi ^{}\mathrm{\Omega }_{TW}`$. Then the t-covariance kernel also decompose as $`S=_iS_i`$, where $`S_i`$ corresponds to $`f_i`$. Since $`_{\mathrm{\Omega }_W}𝑑tS_i(t,t^{})S_j(t^{},t^{\prime \prime })=0`$ if $`ij`$, it follows that $`S_iu=\lambda u`$ implies $`u𝒩\left(S_j\right)`$, $`ji,\lambda 0`$. An eigenfunction of $`S_i`$ is therefore also an eigenfunction of $`S`$, i.e., $`S_iu=\lambda u`$ implies $`Su=\lambda u`$. Since $`S`$ a symmetric operator, $`u_iu_j`$ when $`\lambda _i\lambda _j`$, which guarantees that a Schmidt decomposition is unique up to a rotation of eigenfunctions with identical singular value. It follows that if $`f(t)=_if_i(t)`$, Eq. 6 is fulfilled and $`f_i(t)`$ and $`f_j(t)`$ have disjoint spectra, then the SSA decomposition in Eq. 2 is a direct sum of the decompositions of the individual time series. In this case $`f_i(t)`$ and $`f_j(t)`$ are called strongly separable. If the spectra are not disjoint, but Eq. 6 is fulfilled, $`f_i(t)`$ and $`f_j(t)`$ are called weakly separable (using the same notation as in ).

An important implication of the above analysis is that, for periodic functions, when the total time frame $`T`$ and the time window $`W`$ is chosen such that $`TW=n\tau `$ and $`W=n^{}\tau `$ (where $`\tau `$ is the period and $`n,n^{}𝐙^+`$), the singular spectrum $`\sqrt{\lambda _k}`$ is identical to the Fourier coefficients of $`f(t)`$. Furthermore, if the Fourier coefficients are distinct, then the eigenfunctions $`u_k(t)`$ are identical to the basis functions in the Fourier expansion. Similar results hold asymptotically in the infinite time frame limit.

To understand the SSA procedure, it is essential to further analyze the characteristics of the orthogonal eigenfunctions $`u_k(t)`$. We start by the following trivial observation:

$`f\left(\left(\xi +\xi ^{}\right)+t\right)`$ $`=`$ $`f\left(\xi +\left(\xi ^{}+t\right)\right).`$ (7)
Using this relation in Eq. 2 gives

$`{\displaystyle \underset{k=1}{\overset{d}{}}}\sqrt{\lambda _k}v_k(\xi )u_k(\xi ^{}+t)`$ $`=`$
$`{\displaystyle \underset{k=1}{\overset{d}{}}}\sqrt{\lambda _k}v_k(\xi +\xi ^{})u_k(t).`$
Apply the projection operator $`_{\mathrm{\Omega }_{TW}}𝑑\xi v_l(\xi )`$, use the orthogonality of $`v_k(\xi )`$, subtract $`u_l(t)`$, divide by $`\xi ^{}`$, and finally let $`\xi ^{}0`$. Technically, a problem appears when integrating $`v_k(\xi +\xi ^{})`$ over $`\xi \mathrm{\Omega }_{TW}`$. The function is not defined when $`\xi +\xi ^{}\mathrm{\Omega }_{TW}`$. However, since $`\xi ^{}0`$, using any smooth continuation of $`v_k`$ gives equivalent results. Alternatively, Eq. 7 could be replaced by $`_tf(\xi +t)=_\xi f(\xi +t)`$. Either way, we find:

$`_tu_k(t)`$ $`=`$ $`{\displaystyle \underset{l=1}{\overset{d}{}}}A_{kl}u_l(t),`$ (8)
where

$`A_{kl}`$ $`=`$ $`\sqrt{{\displaystyle \frac{\lambda _l}{\lambda _k}}}{\displaystyle _{\mathrm{\Omega }_{TW}}}𝑑\xi v_k(\xi )_\xi v_l(\xi )`$
does not depend on $`t`$. Note the connection between $`A`$ and the cross-correlation function. Projecting Eq. 8 onto $`u_k(t)`$ also gives:

$`A_{kl}`$ $`=`$ $`{\displaystyle _{\mathrm{\Omega }_W}}𝑑tu_l(t)_tu_k(t)`$
which clearly shows the symmetric relation between the left and right principal eigenfunctions.

From Eq. 8 it is clear that polynomial, exponential and harmonic functions show especially simple (finite) spectra during SSA. In the more general case, the SSA procedure decomposes the time series into an optimal (infinite) linear combination of polynomial, exponential and harmonic functions. This has previously been discovered by others, but the approach taken in this paper is quite different and arguably more straight forward. For a discussion on related work see .

We now show a connection between the matrix $`𝐀`$ and an underlying dynamical system from which the time series is generated. Let $`𝐟(t)`$ be a solution to a linear system of differential equations

$`_t𝐟(t)`$ $`=`$ $`\mathrm{𝐌𝐟}(t),`$
and let a scalar time series $`f(t)`$ be defined by some linear projection of $`𝐟(t)`$, $`f=𝐩^T𝐟`$, where $`𝐩`$ is non-degenerate in the sense that all oscillation modes that appears in $`𝐟(t)`$ are also present in $`f(t)`$. We shall now prove that $`𝐌`$ and $`𝐀`$ have the same spectra. The vector function $`𝐟(t)`$ can be decomposed as:

$`𝐟(t)`$ $`=`$ $`{\displaystyle \underset{k=1}{\overset{d}{}}}\sqrt{\stackrel{~}{\lambda }_k}𝐰_k\stackrel{~}{u}_k(t),`$ (9)
where $`t`$ is restricted to the interval $`\mathrm{\Omega }_W`$. Since $`𝐟(\xi +t)=\mathrm{exp}(𝐌\xi )𝐟(t)`$, we have

$`f(\xi +t)={\displaystyle \underset{k=1}{\overset{d}{}}}\sqrt{\stackrel{~}{\lambda }_k}\left(𝐩^T\mathrm{exp}\left\{𝐌\xi \right\}𝐰_k\right)\stackrel{~}{u}_k(t).`$
Comparing this expression to Eq. 2 and use the uniqueness of the SVD expansion, gives $`v_k(\xi )=C_k_lR_{kl}\left(𝐩^T\mathrm{exp}\left\{𝐌\xi \right\}𝐰_l\right)`$, where $`C_k`$ is a normalization constant and $`𝐑`$ is some rotation matrix which rotates elements within the equivalence classes defined by identical singular values. This further shows that $`\stackrel{~}{𝐮}(t)=\mathrm{𝐑𝐮}(t)`$, and therefore the time derivative of Eq. 9 gives:

$`{\displaystyle \underset{kl}{}}\sqrt{\stackrel{~}{\lambda }_k}\mathrm{𝐌𝐰}_kR_{kl}u_l(t)`$ $`=`$
$`{\displaystyle \underset{klm}{}}\sqrt{\stackrel{~}{\lambda }_k}𝐰_kR_{kl}A_{lm}u_m(t).`$
Using the orthogonality of $`u_k(t)`$ and $`𝐰_k`$, gives

$`𝐀`$ $`=`$ $`𝐑^T\stackrel{~}{\mathrm{\Lambda }}^1𝐖^T\mathrm{𝐌𝐖}\stackrel{~}{\mathrm{\Lambda }}𝐑,`$ (10)
where we use the matrix notation: $`\stackrel{~}{\mathrm{\Lambda }}=\text{diag}(\sqrt{\stackrel{~}{\lambda }_1},\sqrt{\stackrel{~}{\lambda }_2},\mathrm{})`$, $`𝐖=(𝐰_1,𝐰_2,\mathrm{})`$. Since $`\left(𝐖\stackrel{~}{\mathrm{\Lambda }}𝐑\right)\left(𝐑^T\stackrel{~}{\mathrm{\Lambda }}^1𝐖^T\right)=\mathrm{𝟏}`$, Eq. 10 implies that $`𝐀`$ and $`𝐌`$ have identical spectra.

Note that this line of argument is similar to the local linear analysis of dynamical systems, used as part of the proof delay coordinate embedding theorems . It also shows a straight forward connection between PCA of a set of time series from a system of ODEs, and a SSA analysis of a projection from the system.

Though natural in the discrete case, the definition of the trajectory function as $`X(\xi ,t)=f(\xi +t)`$ is somewhat arbitrary in our analysis. Why not $`X(\xi ,t)=f(\xi t)`$, for example? We can use this arbitrariness both to generalize SSA and to gain better theoretical understanding of the procedure. Recall the definition of a (local) transformation group (see e.g., :

###### Definition 1

A transformation group is a continuous Lie group $`G`$ and a set $`M𝐑^n`$ along with a smooth map $`\mathrm{\Psi }:G\times MM`$ which satisfies, for every $`g,hG,xM`$,

$`\mathrm{\Psi }(g,\mathrm{\Psi }(h,x))`$ $`=`$ $`\mathrm{\Psi }(gh,x),`$ (11)
together with the existence of an identity element $`e`$ and an inverse $`g^1`$ for all $`gG`$.

In this paper, the elements of the transformation group is spanned by a parameter $`\xi `$ (we have a one-parameter group). We will sometimes use the compact notation:

$`\mathrm{\Psi }(g\left(\xi \right),x)`$ $``$ $`\mathrm{\Psi }_\xi x.`$
We also chose the parametrization such that $`g(0)=e`$.

A one-parameter transformation group defines a vector field $`𝐕=_i\zeta _i(x_i)_{x_i}`$:

$`𝐕|_x`$ $`=`$ $`{\displaystyle \frac{d}{d\xi }}|_{\xi =0}\mathrm{\Psi }(\xi ,x),`$
which formally is “solved” as

$`\mathrm{\Psi }(\xi ,x)`$ $`=`$ $`\mathrm{exp}\left\{\xi 𝐕\right\}x.`$
The vector field is therefore called the infinitesimal generator of the one-parameter transformation group. Note that the exponential map also implies $`g(\xi )g(\xi ^{})=g(\xi +\xi ^{})`$.

The transformation group also generates orbits through every point $`xM`$, defined as $`\varphi (\xi )=\mathrm{\Psi }(\xi ,x)`$. The orbits are solutions to a system of ordinary differential equations:

$`_\xi \varphi _i(\xi )`$ $`=`$ $`\zeta _i(\varphi (\xi ))`$
$`\varphi (0)`$ $`=`$ $`x,`$ (12)
where the explicit representation of the vector field is used. Eq. 12 can be used to derive explicit expressions for the transformation group corresponding to a vector field.

Using this framework, the SSA procedure may be generalized in the following way. Consider a trajectory function $`X_G`$, constructed from a one-parameter transformation group $`\mathrm{\Psi }_\xi `$ acting on $`M=\mathrm{\Omega }_W`$, with the continuous Lie group $`G`$:

$`X_G(\xi ,t)`$ $`=`$ $`f\left(\mathrm{\Psi }_\xi t\right),`$ (13)
where $`\mathrm{\Psi }:\mathrm{\Omega }_{TW}\times \mathrm{\Omega }_W\mathrm{\Omega }_T`$. Eq 11 provides a relation equivalent to Eq. 7:

$`f\left(\mathrm{\Psi }_\xi \left(\mathrm{\Psi }_\xi ^{}t\right)\right)`$ $`=`$ $`f\left(\mathrm{\Psi }_{\xi +\xi ^{}}t\right),`$ (14)
Eq. 14 can be used to find a system of differential equations, equivalent to Eq. 8, in terms of the infinitesimal generator of the transformation group:

$`\left[u_k(t)\right]`$ $`=`$ $`{\displaystyle \underset{l=1}{\overset{d}{}}}A_{kl}u_l(t),`$ (15)
where $`[]`$ expresses a Lie derivative with respect to the transformation group. Since $`u_k(t)`$ is a scalar function (the index $`k`$ is fixed), $`\left[u_k\right]=\zeta (t)_tu_k(t)`$, where $`\zeta (t)_t`$ is the vector field generating the one-parameter transformation group. The matrix $`𝐀`$ is now defined as

$`A_{kl}`$ $`=`$ $`\sqrt{{\displaystyle \frac{\lambda _l}{\lambda _k}}}{\displaystyle _{\mathrm{\Omega }_{TW}}}𝑑\xi v_k(\xi )_\xi v_l(\xi ).`$
Again, $`𝐀`$ is independent of $`t`$. If the time series is defined as a linear projection $`f=𝐩^T𝐟`$ and $`\left[𝐟(t)\right]=\mathrm{𝐌𝐟}`$, an equivalent analysis as above shows that $`𝐌`$ and $`𝐀`$ have identical spectra.

Lie groups was originally developed to analyze symmetries in differential equations, see e.g., . To make a direct connection between this theory and the analysis above, assume that $`f(t)`$ is a solution to some linear differential equation, i.e., $`D_tf(t)=0`$ where $`D_t`$ is a linear operator. Assume further that $`\mathrm{\Psi }_\xi `$ is a symmetry group of the differential operator $`D_t`$, then $`D_tf(t)=0`$ implies $`D_t\left(\mathrm{\Psi }_\xi f(t)\right)=0`$. If the transformation group $`\mathrm{\Psi }_\xi `$ is used to construct the trajectory function, then the principal eigenfunctions $`u_k(t)`$ will also satisfy the same differential equation, $`D_tu_k(t)=0`$. This can be seen by noting that the t-covariance kernel can be written explicitly as

$`S(t,t^{})`$ $`=`$ $`{\displaystyle _{\mathrm{\Omega }_{TW}}}𝑑\xi f\left(\mathrm{\Psi }_\xi t\right)f\left(\mathrm{\Psi }_\xi t^{}\right).`$ (16)
Since $`D_tS(t,t^{})=0`$, it follows from the eigenvalue problem in Eq. 5 that $`D_tu_k(t)=0`$, if $`\lambda _k0`$.

The analysis also shows how the global transformation group, used in the construction of the trajectory function, affects the eigenmodes via the infinitesimal generator. Let the vector field be defined by $`𝐕=\zeta (t)_t`$. The relation between the eigenmodes in Eq. 15 and Eq. 8 is then given by a variable transformation, $`\tau =^t\frac{ds}{\zeta (s)}`$. The general solutions is on the form

$`𝐮(t)`$ $`=`$ $`\mathrm{exp}\left\{𝐀{\displaystyle ^t}{\displaystyle \frac{ds}{\zeta (s)}}\right\}𝐮_0.`$ (17)
Eq. 17 reflects the fact that up to an isomorphism, there are only two connected one-parameter Lie groups, $`𝐑`$ and $`SO(2)`$, corresponding to real respective imaginary eigenvalues of $`𝐀`$, see  for details.

In the standard SSA, time translations are used to construct the trajectory function, corresponding to $`\mathrm{\Psi }(\xi ,t)=\xi +t`$, $`𝐕=_t`$ and $`𝐮(t)=\mathrm{exp}\left\{𝐀t\right\}𝐮_0`$. Using scale transformations, $`\mathrm{\Psi }(\xi ,t)=e^\xi t`$, corresponds to $`𝐕=t_t`$ and $`𝐮(t)=\mathrm{exp}\left\{𝐀\mathrm{ln}(t)\right\}𝐮_0`$, which contain functions on the form $`t^\alpha `$ (scaling functions) and $`\mathrm{sin}\left(\omega \mathrm{ln}(t)\right)`$.

In fact, any smooth vector field generates a transformation group, which may only be locally defined. For example, consider $`\zeta (t)=t^\alpha `$ for some constant $`\alpha 𝐑,\alpha 1`$. Using Eq. 12 and Eq. 17, we then have:

$`𝐕`$ $`=`$ $`t^\alpha _t`$
$`\mathrm{\Psi }(\xi ,t)`$ $`=`$ $`\left(\beta \xi +t^\beta \right)^{\frac{1}{\beta }}`$
$`𝐮(t)`$ $`=`$ $`\mathrm{exp}\left\{𝐀\beta ^1t^\beta \right\}𝐮_0,`$
where $`\beta =1\alpha `$.

For completeness, we finish this paper by a further generalization of the SSA. Consider a smooth function $`\psi :\mathrm{\Omega }_W\times \mathrm{\Omega }_{TW}\mathrm{\Omega }_T`$, and construct the trajectory function as $`X(\xi ,t)=f\left(\psi (\xi ,t)\right)`$. We assume the mapping to be of maximal rank, i.e., have a non-vanishing Jacobian. The implicit function theorem then ensures that in the neighborhood of each point on a curve defined by $`\psi (\xi ,t)=const.`$, $`\xi `$ can be expressed as a function of $`t`$ and vice versa, i.e., the mapping $`\psi `$ defines an implicit one-dimensional submanifold in $`𝐑^2`$. We assume $`\psi (0,t)=t`$. For small $`\xi ^{}`$, we then use the smoothness of $`\psi `$ to write

$`\psi (\xi ,\psi (\xi ^{},t))`$ $`=`$ $`\psi (\xi +h(t)g(\xi ,t)(\xi ^{})^\kappa ,t)`$
$`\psi (\xi ^{},t)`$ $`=`$ $`t+h(t)(\xi ^{})^\kappa ,`$ (18)
which is valid to order $`\kappa 1`$ in $`\xi ^{}`$ for some functions $`h`$ and $`g`$. The derivative of the first relation in Eq. 18 gives an explicit expression for $`g(\xi ,t)`$:

$`g(\xi ,t)`$ $`=`$ $`{\displaystyle \frac{_t\psi (\xi ,t)}{_\xi \psi (\xi ,t)}}`$
Note that if $`h(t)g(\xi ,t)=1`$ and $`\kappa =1`$, then $`\psi `$ is a transformation group according to Definition 1. Given a function $`g(\xi ,t)`$ we can also find the global mapping $`\psi `$ by solving the linear first order PDE (using for example the method of characteristics):

$`_t\psi (\xi ,t)g(\xi ,t)_\xi \psi (\xi ,t)`$ $`=`$ $`0`$
$`\psi (0,t)`$ $`=`$ $`t,`$ (19)
corresponding to Eq. 12 above. Using Eq. 18 we derive the structural differential equations for the principal eigenfunctions

$`_tu_k(t)`$ $`=`$ $`{\displaystyle \underset{l}{}}A_{kl}(t)u_l(t)`$ (20)
where

$`A_{kl}(t)`$ $`=`$ $`\sqrt{{\displaystyle \frac{\lambda _l}{\lambda _k}}}{\displaystyle _{\mathrm{\Omega }_{TW}}}𝑑\xi g(\xi ,t)v_k(\xi )_\xi v_l(\xi ),`$
which in this case dependent on $`t`$. The time dependence of $`𝐀`$ in Eq. 20 makes the equations hard to analyze in general. Again it worth noting that an equivalent approach would be to use the relation

$`_\xi \psi (\xi ,t)_\xi f\left(\psi (\xi ,t)\right)=_t\psi (\xi ,t)_tf\left(\psi (\xi ,t)\right),`$
which is valid for all smooth functions $`f`$ (especially $`f(x)=x`$ which gives Eq. 19).

There are a number of different ways to further generalize SSA along the lines of this paper. The perhaps most natural is to consider multi-dimensional transformation groups and/or multi-dimensional data fields. This would require an extension of the SVD to tensor decomposition. This is not straightforward , but generalized versions of the SVD does exist .

Finally, the author would like to thank Steen Rasmussen, for support as well as valuable discussions and perspectives. The author would also like to acknolege grant support from U.S. departmet of Energy.


text:
# Multicolor flickering studies of X1822-371

## 1 Introduction

Low-mass X-ray binaries (LMXB) are close binary systems in which a late-type star (the secondary) overfills its Roche lobe and transfers matter to a companion neutron star or black hole (the primary) via an accretion disc. As a consequence of the deep gravitational potential well of the compact primary star, most of the accretion luminosity is radiated as X-rays (Lewin, van Paradijs & van den Heuvel 1995).

The light curves of interacting binaries, active galactic nuclei and of some T Tauri stars show intrinsic brightness fluctuation of $`0.011`$ magnitudes on timescales ranging from seconds to dozens of minutes, termed “flickering”. Although flickering activity is considered a fundamental signature of accretion, it is also the least understood aspect of the accretion processes (e.g., Warner 1988, 1995).

X1822-371 is the brightest eclipsing LMXB currently known. Its X-ray light curve shows a 5.57 hr modulation which is caused by the occultation of the disc by the companion star (eclipse) and by a bulge (dip) associated with the impact region of the gas stream from the secondary star with the disc rim (White & Holt 1982; Hellier & Mason 1989). In eclipsing LMXBs, the vertically-extended disc can permanently hide the compact object from our view, leading to a much weaker X-ray source relative to its optical brightness (p.ex., $`L_x/L_{opt}=20`$ in X1822-371). Systems like X1822-371 are termed Accretion Disc Corona (ADC) sources because the X-rays from these systems are visible through scattering from a disc corona or wind. Their optical properties can be understood in terms of reprocessing of X-rays in the accretion disc and the companion star.

The empirical model of components from the inner and outer disc by Hellier & Mason (1989) yields an estimate of the size of the ADC in X1822-371 of $`R_{ADC}0.47R_{}`$, an inclination in the range $`i=82\text{}87\text{}`$, and a disc half-thickness of $`h_d=0.080.22R_{}`$. Harlaftis et al. (1997) found a lower limit to the radial velocity of the secondary star of $`K_s>225kms^1`$, suggesting a spectral type M. Cowley et al. (1982) derived a binary mass ratio in the range $`3<q(=M_x/M_s)<5`$, resulting in a secondary star mass of $`0.130.33M_{}`$, and suggested that the secondary star is undermassive for its radius and luminosity. The distance to X1822-371 is rather uncertain. A lower limit of $`d=600pc`$ was found by Mason et al. (1980) from the reddening of the colors. Mason & Cordova (1982a) fitted ultraviolet, optical and infrared light curves to find a distance of $`d=15Kpc`$, with most probable value between $`23Kpc`$.

Currently, there is only a handful of isolated light curves of X1822-371 separated by years and mostly measured at poor time resolutions ($`\stackrel{>}{}5`$ min), which prevents a more comprehensive study of this binary in the optical.

In this paper we report on the analysis of high speed optical photometry of X1822-371. The observations and data reduction procedures are described in section 2. We obtain a revised optical ephemeris and estimate of the orbital period change in section 3.1. In section 3.2 we present and discuss mean orbital light curves and derive the orbital dependency of the optical flickering activity as a function of wavelength. In section 3.3 we use average UBVRI fluxes at selected phases to separate the emission from the different light sources in the system. The dependency of the optical flickering with frequency is investigated in section 3.4. A summary of the main results is presented in section 4.

## 2 Observations and data reduction

X1822-371 was observed with the 1.6-m and 0.6-m telescopes of the Laboratório Nacional de Astrofísica (LNA/CNPq), in southern Brazil, between 1996 and 2001. We collected a total of nine light curves covering seven eclipses. The 1996 data were obtained with a photoelectric photometer (FOTRAP), and the remaining data sets were obtained with a CCD camera. Table 1 contains a summary of the observations. Column $`\mathrm{\Delta }t`$ lists either the time resolution (FOTRAP runs) or the integration time (CCD runs). The last column describes the quality of the observing night.

FOTRAP is a one-channel photometer with a high-speed (20 Hz) rotating filter wheel that allows quasi-simultaneous measurements in 6 bands. Its photometric system closely matches the Johnson-Cousins UBVRI system as defined by Bessell (1990). The remaining position in the filter wheel is used for observations in white light (W). The observations were performed with a small 9.1 arcsec diaphragm to avoid contamination by the light from a nearby companion star. Sky measurements were taken at intervals of $`2030`$ min at a position 40 arcsec to the east of the variable, except during eclipse. The sky measurements were fitted by a cubic spline function and then subtracted from the raw data. A close comparison star was also observed at intervals of $`2030`$ min to check for the presence of clouds and sky transparency variations. From these observations, we confirmed that the FOTRAP runs were performed under good sky conditions. Coefficients of extinction and of transformation to the UBVRI standard system for each night were derived from observations of E-regions stars of Graham (1982) and blue spectrophotometric standards of Stone & Baldwin (1983). The reader is referred to Jablonski et al. (1994) for a detailed study of the reliability of the transformations from FOTRAP’s natural to the standard UBVRI system, in particular for objects of peculiar blue spectra such as cataclysmic variables and LMXBs. We used the relations of Lamla (1981) to transform UBVRI magnitudes to flux density units. The absolute calibration of the observations is accurate to better than 10 per cent.

Time-series of differential photometry of X1822-371 in the B-band were obtained with an EEV CCD camera ($`385\times 578`$ pixels, 0.58 arcsec/pixel) in 1999, 2000 and 2001. The observations consisted of 20-35 s exposures with a negligible dead time between exposures. The CCD data were reduced using standard IRAF222 IRAF is distributed by National Optical Astronomy Observatories, which is operated by the Association of Universities for Research in Astronomy, Inc., under contract with the National Science Foundation.  procedures and included bias and flat-field corrections and cosmic rays removal. Time-series were constructed by computing the difference of magnitude of the variable star and of a set of comparison stars with respect to a reference star in the field. The data were transformed from magnitudes to a flux scale assuming a unity flux for the reference star. Most of the CCD runs cover a small phase range around eclipse and were included in the analysis only for the purpose of determining a revised ephemeris.

Figure 1 shows the B-band light curve of X1822-371 on June 2001. Fluxes are relative to the reference star. The run was interrupted around phase $`0.45`$ for an observation of a different target star. The lower panel shows the light curve of a comparison star of similar brightness and the residuals with respect to a smooth spline function fitted to the light curve of the variable star. The scatter around the mean in the residuals light curve is perceptibly larger than that of the comparison star light curve and is caused by flickering. The amplitude of the flickering around phase $`0.5`$ is larger than at mid-eclipse.

## 3 Results and discussion

### 3.1 Revised optical ephemeris

Eclipse timing were determined by fitting parabolic and cubic functions to the eclipse shape to estimate times of minimum light, and by using the bissected chord method to estimate times of mid-eclipse (e.g., Baptista, Jablonski & Steiner 1989). The final timing is the median of the three measurements and the corresponding uncertainty is derived from the median of the absolute deviations with respect to the median. The eclipse timings measured from the UBVRI and W-band light curves are consistent with each other at the 1-$`\sigma `$ level. The barycentric correction and the difference between universal times (UT) and dynamical ephemeris time scales are smaller than the uncertainties in the measured timings and were neglected. The new heliocentric eclipse timings (HJD) are listed in Table 2 with corresponding eclipse cycle number (E) and uncertainties (quoted in parenthesis). These timings were combined with the optical timings of Hellier & Mason (1989) to obtain a revised optical ephemeris for X1822-371. The first optical timing of Hellier & Mason (1980) is very uncertain (see Mason et al. 1980) and was not included in the analysis. We found an error in one of the timings of Mason et al. (1980), possibly caused by an improper heliocentric correction. The revised epoch of this timing is HJD 2 444 044.861(6) d ($`E=6766`$).

The best-fit least-squares linear ephemeris is,

$$\mathrm{T}_{\mathrm{mid}}=\mathrm{HJD}\mathrm{\hspace{0.33em}2\hspace{0.17em}445\hspace{0.17em}615.310}(1)+\mathrm{0.232\hspace{0.17em}109\hspace{0.17em}28}(5)\mathrm{E},$$
(1)
with a dispersion of $`\sigma =0.0034`$ d and a reduced $`\chi ^2`$ of 1.27 for 23 degrees of freedom. The (O$``$C) values with respect to eq.(1) are listed in Table 2 and plotted in Fig. 2. The X-ray eclipse timings of Parmar et al. (2000) are also plotted for comparison.

The best-fit least-squares quadratic ephemeris is,

$`\mathrm{T}_{\mathrm{mid}}`$ $`=`$ $`\mathrm{HJD}\mathrm{\hspace{0.33em}2\hspace{0.17em}445\hspace{0.17em}615.312}(1)+\mathrm{0.232\hspace{0.17em}1088}(2)\mathrm{E}`$
$`+(1.8\pm 0.6)\times 10^{11}\mathrm{E}^2,`$
with resulting $`\sigma =0.0057`$ d and $`\chi _{red}^2=1.00`$. The quadratic fit results simultaneously in a slightly lower $`\chi _{red}^2`$ and in a significantly larger $`\sigma `$. This apparent contradition can be explained by noting that $`\sigma `$ yields a simple mean of the deviations between the fit and the data, whereas the $`\chi ^2`$ weights these deviations by the inverse of the square of the uncertainty at each data point. This implies that the quite uncertain earlier timings are essencially neglected in the least-squares quadratic fit, but dominate the computation of $`\sigma `$.

The quadratic ephemeris is not statistically significant (because the resulting $`\sigma `$ is even larger than that of the linear fit), but suggests a positive variation of the orbital period with a characteristic timescale of $`P_0/|\text{}|=(4.2\pm 1.4)\times 10^6`$ yr. This is consistent with the analysis of the X-ray timings, which indicates that the orbital period of X1822-371 increases in a timescale of $`P_0/|\text{}|=3.1\times 10^6`$ yr (Hellier & Smale 1994).

White et al. (1981) observed that the optical eclipse timings were earlier than the X-ray timings by 13 minutes. However, this discrepancy is comparable to the (quite large) uncertainties in their eclipse timings and in the ephemeris that they adopted. At the low time resolution of their data, it is also possible that the measured timings are biased towards the mid-dip time, which occurs before mid-eclipse time. On the other hand, Hellier & Mason (1989) found optical eclipse timings which are late with respect to the X-ray eclipse timings by $`3`$ min and suggested that this should be the result of the optical light centre being ahead from the line of the star centres.

The (O-C) diagram of Fig. 2 shows that, despite the fact that the offset between the optical and x-ray timings at the proper epochs (i.e., around cycles $`8000`$ and 2000) are consistent with the reports of, respectively, White et al. (1981) and Hellier & Mason (1989), we found no evidence of a systematic delay or advance of the optical timings with respect to the X-ray timings. The initial eclipse times predicted by the optical and X-ray ephemerides are consistent with each other at the 2-$`\sigma `$ level. The larger dispersion of the optical timings in comparison to the X-ray timings can be understood as a consequence of the fact that the optical light arises from an extended region of the accretion disc the light center of which varies in position in response to time-dependent asymmetries in the surface brightness distribution of the outer disc, while the X-ray light is produced in the compact inner disc regions leading to more stable eclipse timings. The larger dispersion of the optical timings (and the possible bias in the earlier timings) is also responsible for the lower statistical significance of the quadratic term in the ephemeris in comparison with the X-rays results.

### 3.2 Average light curves

We adopted the following convention regarding the phases: conjunction occurs at phase zero, the phases are negative before conjunction and positive afterwards.

In order to increase the signal-to-noise ratio and to reduce the influence of flickering in the light curves, we combined the individual FOTRAP light curves to produce average UBVRI orbital light curves. For each band, the data is divided into phase bins of width 0.01 cycle, the median flux is computed for each bin and the corresponding uncertainty is derived from the median of the absolute deviations with respect to the median. For each average light curve a curve of the root mean square deviations with respect to the median, $`\sigma _{tot}`$, is also produced. These curves have major contributions from the photon count statistics (which is largely dominant in comparison to the sky scintillation) and from the intrinsic flickering activity. The orbital curve of the flickering component can be obtained from the relation,

$$\sigma _{flick}(\varphi )=\sqrt{\sigma _{tot}^2(\varphi )\sigma _{poisson}^2(\varphi )},$$
(2)
where we adopt $`\sigma _{flick}(\varphi )=0`$ when $`\sigma _{poisson}(\varphi )\sigma _{tot}(\varphi )`$ and $`\sigma _{poisson}(\varphi )`$ is determined from the photon count statistics at the orbital phase $`\varphi `$. The flickering component was also set to zero at those phase bins which consisted of data from less than three light curves. The computed B-band flickering curve is consistent at the 1-$`\sigma `$ level with the flickering observed in the B-band CCD light curve of June 2001 (Fig. 1), both in amplitude and in orbital dependency. This give us confidence that the UBVRI flickering curves derived from the data collected with the one-channel FOTRAP photometer are not affected by an improper correction of fast ($`20`$ min), low amplitude sky transparency variations. The UBVRI average light curves and flickering curves are shown in Fig. 3.

The orbital light curves show the deeper eclipse of the disc by the secondary star between phases $`0.1`$ and +0.1 superimposed on a more extended and shallower eclipse, interpreted as the result of the occultation of the inner disc regions by a vertically-extended disc rim (dip), which occurs between phases $`0.4`$ and +0.15. The orbital light curves also display an orbital hump with maximum at phase +0.25, the amplitude of which decreases for increasing wavelengths.

Mason et al. (1980) suggest the existence of a shallow secondary minimum ($`\mathrm{\Delta }m=0.150.2`$ mag) centred at orbital phase +0.5 presumably caused by ellipsoidal modulation of the light from the secondary star, with a possible eclipse of this star by the geometrically-thick accretion disc. We found no evidence of a secondary eclipse (except, perhaps, in the U-band) nor there is evidence of an ellipsoidal modulation of the secondary star light. This is more conspicuous at the longer wavelengths, where the dip starts at latter phases leading to a cleaner view of the star’s behaviour around phase +0.5. This is in contrast with the expected behaviour for an eclipse of the secondary star by the disc, since the occultation of the red secondary star should result in progressively deeper eclipses at longer wavelengths. These results indicate that the secondary star in X1822-371 does not contributes significantly to the optical flux, even in the I-band. Hence, we associate the decrease in flux previously seen in the B-band (Mason et al. 1980) and also present in the U and B light curves of Fig. 3 to the end of the blue orbital hump centred at phase +0.25.

The eclipse varies from a round-bottomed, U-shape in the U-band (suggesting a steep brightness distribution concentrated towards the disc centre) to a V-shape in the I-band (revealing a smoother and more extended brightness distribution). This is consistent with the existence of a temperature gradient in the light source around the primary star, with the temperatures decreasing outwards. This could arise from the expected radial temperature gradient in the accretion disc, for an optically thin ADC, or from a vertically stratified and decreasing temperature structure in an optically thick ADC (e.g., Iara et al. 2001; Heinz & Nowak 2001) veiling the inner accretion disc.

The end of the dip is seen as a positive jump in the light curves around phase +0.13. The dip egress was measured by finding the phase of maximum in the derivative of the light curve at the proper phase range (cf. Wood, Irwin & Pringle 1985). The ingress of the dip in the I-band is seen as a sharp break in the slope of the light curve and was similarly measured from its derivative. For the other bands, the starting phase of the dip was measured by finding the intersection between straight lines fitted to the data in the phase ranges prior (+0.4,+0.6) and after (+0.7,+0.8) the ingress of the dip and by finding the intersection of the line fitted to the latter phase range with the mean and median fluxes computed in the former phase range. The results obtained with these procedures are consistent with each other, with standard deviations smaller then 0.01 cycle in all bands. Vertical ticks mark the measured ingress and egress phases of the dip in each light curve of Fig. 3.

The starting phase of the dip is clearly wavelength-dependent, occurring earlier for shorter wavelengths (+0.61 in the U-band against +0.76 in the I-band). The observed behaviour in X-rays is consistent with this trend, with the X-ray dip beginning as early as phase +0.4 (e.g., Heinz & Nowak 2001). This result also reflects the existence of a temperature gradient in the disc or ADC and reveals that the thickening of the outer, occulting disc rim is gradual with azimuth at ingress. On the other hand, the egress of the dip occurs at about the same phase at all wavelengths, indicating that the thickness of the disc rim decreases sharply at this azimuth. This is reminiscent of the azimuthal distribution of the outer accretion disc thickness found for the dwarf nova OY Car during a superoutburst (Billington et al. 1996), in which the disc rim seems to increase abruptly close to the azimuthal position of the bright spot and decreases slowly along the direction of rotation of the gas in the disc, extending in azimuth for $`180\text{}`$.

We now turn our attention to the flickering curves. The flickering curves have rather low signal-to-noise ratios since they were derived from an ensemble of only 3-5 light curves. Nevertheless, the analysis of the orbital flickering curves allow us to constrain the location of the optical flickering sources in X1822-371. If the flickering is produced in the bright spot where the gas stream from the secondary star hits the outer edge of the disc (as it seems to occur in quiescent dwarf novae; e.g., Warner 1995, Bruch 2000), the flickering curves should show an orbital hump (around phase +0.8) similar to that seen in the light curves of quiescent dwarf novae as well as an asymmetric eclipse coincident in phase with the occultation of the bright spot by the secondary star (i.e., displaced towards positive phases, see p.ex., Wood et al. 1986; Baptista et al. 1998). On the other hand, if the flickering originates in the inner parts of the accretion disc (as is possibly the case in nova-like variables; see, for example, Horne & Stiening 1985; Bruch 2000), then the spectrum of the flickering should be as blue as the spectrum of the inner disc regions and there should be an eclipse in the amplitude of the flickering following the occultation of the inner disc regions during the dipping phases. Such an eclipse should be more pronounced at shorter wavelengths.

Our flickering curves show a broad eclipse coincident with the dipping phases. The eclipse is less pronounced at longer wavelengths and essentially disappears in the I-band. Whereas the eclipse is deep at short wavelengths (1.4 mag in the B-band), it is not total. Also, there is no sign of an orbital hump around phase +0.8 and no evidence that the eclipse is displaced towards positive phases. One can, therefore, discard the bright spot as an important source of flickering in X1822-371. On the other hand, the partial eclipse and the changes in eclipse depth with wavelength suggest that the flickering is associated to a multi-temperature accretion disc, with a ‘blue’ component arising from the hot, inner disc regions (occulted during the dipping phases) and a ‘red’ component probably originating in the outermost disc regions (which remain visible at mid-eclipse). A more quantitative analysis of these results will be presented in section 3.3.

We computed the ratio between the flickering curve and the corresponding orbital light curve to derive the fractional contribution of the flickering component as a function of phase. We find that outside of the eclipse the flickering contributes $`10\pm 2`$ per cent of the total light, independent of wavelength. During eclipse the fractional flickering contribution raises from 7 per cent in the U- and B-bands to about 20 per cent in the I-band. These values are significantly larger than the $`2`$ per cent fractional flickering contribution estimated by Mason et al. (1980) from their unfiltered light curves. Their observations were made while the star was at $`B15.4`$ mag, while our data correspond to a higher brightness state, $`B15.0`$ mag. This comparison indicates that the flickering activity in X1822-371 might be correlated with the brightness level. Further long-term, high-speed photometry would be useful to test this hypothesis.

### 3.3 The colors of the disc and of the flickering

The UBVRI orbital light curves yield a unique opportunity to separate the optical colors of the different light sources in the binary. For this purpose, we defined three phase ranges to extract median UBVRI fluxes, indicated by vertical dotted lines in Fig. 3. Region 1 (between phase +0.45 and +0.55) yields the colors of X1822-371 outside of eclipse and of the dip, where both the inner and the outer, thick parts of the disc are visible. Region 2 (from phase $`0.2`$ to $`0.1`$) corresponds to the phases where the outer, thick disc rim occults the inner disc regions, while region 3 (from phase $`0.05`$ to +0.05) corresponds to the eclipse of the thick disc rim by the secondary star. Median UBVRI fluxes were extracted from the average light curves for each region. The difference between the fluxes of regions 1 and 2 yields the colors of the inner parts of the disc occulted during the dipping phases, while the difference between the fluxes of regions 2 and 3 gives the colors of the outer and thick disc rim covered by the secondary star. The resulting fluxes are shown as filled circles in the two upper panels of Fig. 4.

The slopes of the flux distributions are consistent with those of optically thick thermal radiators.

A simple estimate of the dimensions and effective temperatures of these light sources was obtained by fitting blackbody spectra to the observed fluxes using the iraf synthetic photometry package SYNPHOT. Each fit assumes an interstellar extinction of $`E(BV)=0.1`$ (Mason & Cordova 1982b). The best-fit models are shown as solid lines in Fig. 4. The corresponding effective temperature, $`T_{\mathrm{eff}}`$, and solid angle, $`\theta ^2=\pi [(R/R_{})/(D/kpc)]^2`$, are indicated in each panel. The uncertainties in the values of $`T_{\mathrm{eff}}`$ and $`\theta ^2`$ were obtained from Monte Carlo simulations by independently varying the values of the input UBVRI fluxes according to Gaussian distributions with standard deviations equal to the corresponding uncertainties.

The temperature inferred for the inner disc regions is $`T_{\mathrm{eff}}(12)=(9\pm 5)\times 10^7K`$ for a solid angle of $`\theta _{12}^2=(8\pm 2)\times 10^7`$. A temperature of $`T_{\mathrm{eff}}(23)=(6\pm 2)\times 10^4K`$ and a solid angle of $`\theta _{23}^2=(1.5\pm 0.9)\times 10^3`$ were obtained for the outer disc rim. The uncertainty in the fit of the inner disc regions is dominated by the error in the U-band flux and is large, since the slope of the blackbody spectrum at optical wavelengths is not sensitive to the temperature at these high temperatures. We consistently find that the inner parts of the disc occulted during the dip are considerably hotter and smaller than the occulting outer disc rim. Since these sources are at the same distance, the ratio between the fitted solid angles can be used to compare the characteristic dimension of the inner ($`R_{12}`$) and the outer ($`R_{23}`$) parts of the disc. We find $`R_{12}=0.023R_{23}`$.

The colors of the optical flickering can be derived with a procedure analogous to that used to separate the colors of the steady light sources. Because in this case the data is of quite low signal-to-noise ratio, we adopted a simpler approach and computed the colors of the eclipsed flickering (the difference between the mean flickering amplitudes of regions 1 and 3) and of the flickering component that remains visible at mid-eclipse (the mean flickering amplitude of region 3), hereafter called ‘the uneclipsed flickering’. The results are shown in the two lower panels of Fig. 4.

As suggested in section 3.2, the spectrum of the eclipsed flickering component is very blue. A detailed comparison shows it is even bluer than the mean spectrum of the inner disc regions occulted during the dipping phases, signalling that the relative amplitude of the eclipsed flickering increases towards shorter wavelengths. Blackbody fits to the flickering colors yield temperatures of $`T_{\mathrm{eff}}(eclip)=(2.1\pm 0.8)\times 10^8K`$ and of $`T_{\mathrm{eff}}(unecl)=(9.6\pm 0.7)\times 10^3K`$, respectively, for the eclipsed and the uneclipsed flickering components. Since in this case we are fitting the spectrum of the fluctuations with respect to the mean UBVRI flux levels, the solid angles of these fits are meaningless. Once again, the uncertainty in the temperature of the eclipsed flickering is large because the slope of the blackbody spectrum at optical wavelengths is not sensitive to the temperature at these high temperatures.

### 3.4 Time-series analysis

In this section we further investigate the dependency in phase, as well as in frequency, of the optical flickering in X1822-371. For this purpose, we computed Fast Fourier Transforms (e.g., Press et al. 1992) of fragments of the individual UBVRI light curves centred at three selected phase ranges, one covering the eclipse (from phase $`0.1`$ to +0.1), one sampling the dipping phases (from phase $`0.3`$ to $`0.1`$), and another sampling the regions outside of the eclipse and of the dip (from phase $`0.5`$ to $`0.3`$). In order to suppress the contribution from the low-frequency components due to the eclipse, dip and orbital hump, the corresponding average light curve (Fig. 3) was subtracted from each fragment before computing the power spectrum. The power spectra of the fragments of the individual light curves were combined to compute median power spectra for each band and phase range. Error bars were derived from the median of the absolute deviations with respect to the median in each phase bin.

Figure 5 shows average power spectra in the B- and I-bands for the three selected phase ranges.

The power spectra are flat, with no clear cut in frequency. The I-band power spectra are consistent with each other at the 1-$`\sigma `$ level, confirming that there is no eclipse of the flickering component at this wavelength. Similar results are found for the R-band. On the other hand, the mean B-band power density is reduced by a factor of $`2.5\pm 0.5`$ during eclipse, in agreement with the results of section 3.2. The behaviour is consistent at all frequencies in the observed range, indicating that the blue, eclipsed flickering consists equally of low and high frequency components. The results are similar for the U-band, whereas the V-band is an intermediate case between those of the shorter and longer wavelengths.

## 4 Conclusions

The results of the analysis of high-speed optical photometry of the eclipsing X-ray binary X1822-371 can be summarized as follows:

1. We used new eclipse timings to derive a revised optical ephemeris. A quadratic fit to the eclipse timings is not statistically significant yet but suggests that the orbital period is increasing on a timescale of $`P_0/|\text{}|=(4.2\pm 1.4)\times 10^6`$ yr, in agreement with the results from the analysis of X-ray timings. We also show that there is no systematic delay or advance of the optical timings with respect to the X-ray timings.
2. The average UBVRI light curves show the deep eclipse of the disc by the secondary star superimposed on the broader and shallower occultation of the inner disc regions by the outer disc (dip), and an orbital hump centred at phase +0.25 mostly seen in the U- and B-bands. There is no evidence of a secondary eclipse at phase +0.5 or of an ellipsoidal modulation of the secondary star light. The changes in eclipse shape with wavelength are consistent with the existence of a temperature gradient in the accretion disc and/or ADC.
3. The starting phase of the dip occurs earlier for shorter wavelengths, while the egress occurs at the same phase in all bands. This suggests that the thickening of the outer, occulting disc rim is gradual with azimuth at ingress but decreases sharply at egress.
4. We used the dip and the eclipse to separate the colors of the inner (occulted during the dip) and outer (eclipsed by the secondary star) disc regions. The derived effective temperatures of the inner and outer disc regions are, respectively, $`T_{\mathrm{eff}}=(9\pm 5)\times 10^7K`$ and $`T_{\mathrm{eff}}=(6\pm 2)\times 10^4K`$, where we assumed an insterstellar extinction of $`E(BV)=0.1`$ for X1822-371.
5. The derived flickering curves show a broad eclipse coincident with the dipping phases, the depth of which decreases with increasing wavelength. The blue, eclipsed flickering component is associated with the inner disc regions and can be fitted by a blackbody spectrum of $`T_{\mathrm{eff}}=(2.1\pm 0.8)\times 10^8K`$, whereas the uneclipsed flickering component probably arises from the outermost disc regions and is well described by a cooler blackbody of $`T_{\mathrm{eff}}=(9.6\pm 0.7)\times 10^3K`$. The power spectrum of the eclipsed flickering component is flat, with similar contributions from low and high frequencies.
6. We find that outside of the eclipse the flickering contributes $`10\pm 2`$ per cent of the total light, independent of wavelength. This is considerably larger than the 2 per cent fractional contribution estimate of Mason et al. (1980) and suggests that the flickering activity in X1822-371 is correlated with its brightness level.

## Acknowledgments

We thank an anonymous referee for valuable comments and suggestions on an earlier version of the manuscript. This work was partially supported by the research grant FAURGS/PRONEX 7697.1003.00. RB acknowledges financial support from CNPq/Brazil through grants 300 354/96-7 and 520 869/97-4. AB acknowledges financial support from CAPES/Brazil and CNPq/Brazil. ETH was supported by the TMR contract ERBFMBICT960971 of the European Union.