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# Spin-5/2 resonance effects in a coupled channel nucleon resonance analysis 1footnote 11footnote 1Supported by DFG and GSI Darmstadt

## I Introduction

The extraction of baryon-resonance properties is one of the important tasks of modern hadron physics. Great efforts have been made in the past to obtain this information from the analysis of pion- and photon-induced reaction data. The precise knowledge of these properties is an important step towards understanding the hadron structure and finally the strong interactions. However, until now there are states whose properties are not settled or whose existence is rather controversial. At the same time even some resonances with four-star status have their parameters in a wide range as extracted from different analyses pdg . This complicates the comparison of the extracted parameters with theoretical model predictions. On the other hand, some quark models (see Capstick02  and Refs. therein) predict that the baryon resonance spectrum may be richer then discovered so far. This is a problem of ’missing’ nucleon resonances. One assumes that these states are weakly coupled to pion channels and are consequently not clearly seen in $`\pi N`$ and $`2\pi N`$ reactions from which experimental data are most often used for baryon-resonance analyses. To solve these problems additional final states must be taken into account. Ideally a comprehensive analysis should include all open channels and take all experimental reaction data into account.

A large number of models were suggested to obtain resonance properties by using the experimental data from hadronic reactions only (arndt95 ; manley92 ; vrana ; see also pdg  for references). All these analyses apply different unitarization methods for the $`T`$-matrix and deal with various data sets. In arndt95  the authors use only the $`\pi N`$ data where inelastic reactions are approximated by a “generic” $`\pi \mathrm{\Delta }`$ channel. The analysis of Manley and Saleski manley92  uses both $`\pi N`$ and $`2\pi N`$ production data whereas the most recent studies of Vrana et al. vrana  include $`\pi N\eta N`$ cross sections data in addition to the last two ones. To incorporate other possible finale states a unitary coupled channel model (Giessen model) has been developed which includes $`\gamma N`$, $`\pi N`$, $`2\pi N`$, $`\eta N`$, $`K\mathrm{\Lambda }`$ final states and deals with all available experimental data on pion- and photon-induced reactions feusti98 ; feusti99 . Most recent extensions of this model include $`K\mathrm{\Sigma }`$ and $`\omega N`$ final states Penner02 ; pm2  as well, which allows for the simultaneous analysis of all hadronic and photoproduction data up to $`\sqrt{s}=`$ 2 GeV. A shortcoming of this study is the missing of higher spin resonances with spin $`J>\frac{3}{2}`$. A successful description of data for all final states has nevertheless been achieved in Penner02  and at first sight there is not much evidence that higher-spin resonances can give significant contributions to the final states studied. However, for a comprehensive analysis of baryon spectra the contributions from higher spin resonances must be included as well. It is known as well, that spin-$`\frac{5}{2}`$ resonances have large electromagnetic couplings pdg  and have to be included into photon-induced reaction analyses. To improve the situation we extend our model by including resonance states with spin $`\frac{5}{2}`$. In the present paper we report our first results on the pion-induced reactions studied; the simultaneous analysis of pion- and photon-induced reactions will be presented in a subsequent paper.

As a first step we keep all ingredients of our last study taking into account the $`\pi N`$, $`2\pi N`$, $`\eta N`$, $`K\mathrm{\Lambda }`$, $`K\mathrm{\Sigma }`$, and $`\omega N`$ final states and include in addition the spin-$`\frac{5}{2}`$ resonances that were absent in feusti98 ; feusti99 ; Penner02 ; pm2 . We do not look for additional open channels but instead check the evidence for additional resonance states which have a one or two stars status rated by pdg . We start in Sec. II with a description of the formalism concentrating mainly on the spin-$`\frac{5}{2}`$ couplings; the complete discussion of our model including all other couplings can be found in Penner02 ; pm2 ; phd . Sec. III is devoted to details of calculations. In Secs. IV and V we discuss the results of our calculations in comparison with the previous studies Penner02 . We present the extracted resonance masses and partial decay widths and finish with a summary.

## II The Giessen model

We solve the Bethe-Salpeter coupled-channel equation in the $`K`$-matrix approximation to extract scattering amplitudes for the final states under consideration. In order to decouple the equations we perform partial-wave decomposition of the $`T`$ matrix into good total spin $`J`$, isospin $`I`$, and parity $`P=(1)^{J\pm \frac{1}{2}}`$. Then the partial-wave amplitudes can be expressed in terms of an interaction potential $`𝒦`$ via the matrix equation

$`𝒯^{I,J\pm }=\left[{\displaystyle \frac{𝒦^{I,J\pm }}{1\text{i}𝒦^{I,J\pm }}}\right],`$ (1)
where each element of the matrices $`𝒯_{fi}^{I,J\pm }`$ and $`𝒦_{fi}^{I,J\pm }`$ corresponds to a given initial and final state ($`i,f=`$ $`\pi N`$, $`2\pi N`$, $`\eta N`$, $`K\mathrm{\Lambda }`$, $`K\mathrm{\Sigma }`$, $`\omega N`$ ). The interaction potential is approximated by tree-level Feynman diagrams which in turn are obtained from effective Lagrangians Penner02 ; phd . The $`𝒯`$-matrix (1) fulfils unitarity as long as the $`𝒦`$ matrix is hermitian.

The Lagrangian for the spin-$`\frac{5}{2}`$ resonance decay to a final baryon $`B`$ and a (pseudo)scalar meson $`\phi `$ is chosen in the form

$`_{\phi BR}^{\frac{5}{2}}={\displaystyle \frac{\mathrm{g}_{\phi BR}}{m_\pi ^2}}\overline{u}_R^{\mu \nu }\mathrm{\Theta }_{\nu \lambda }(a)\mathrm{\Gamma }_Su_B_\mu ^\lambda \phi +h.c.`$ (2)
with the matrix $`\mathrm{\Gamma }_S=11`$ if resonance and final meson have identical parity and $`\mathrm{\Gamma }_s=\text{i}\gamma _5`$ otherwise. The free spin-$`\frac{5}{2}`$ Rarita-Schwinger symmetric field $`u_R^{\mu \nu }`$ obeys the Dirac equation and satisfies the conditions $`\gamma _\mu u_R^{\mu \nu }=_\mu u_R^{\mu \nu }=\mathrm{g}_{\mu \nu }u_R^{\mu \nu }=0`$ rarita .

The off-shell projector $`\mathrm{\Theta }_{\mu \nu }(a)`$ is defined by

$`\mathrm{\Theta }_{\mu \nu }(a)=\mathrm{g}_{\mu \nu }a\gamma _\mu \gamma _\nu ,`$ (3)
where $`a`$ is the off-shell parameter. In general the interaction Lagrangian (2) can have two off-shell projectors matched with both vector indices of the resonance field tensor. However, as we will see later, a good description of the experimental data can be achieved already with a single parameter $`a`$ keeping the second one equal to zero. Thus we have found no necessity for additional parameters and to keep our model as simple as possible we use only one off-shell projector in (2).

The widths of the hadronic resonance decays as extracted from the Lagrangian (2) are

$`\mathrm{\Gamma }_\pm (R_{\frac{5}{2}}\phi B)=I{\displaystyle \frac{\mathrm{g}_{\phi \mathrm{BR}}^2}{30\pi m_\pi ^4}}k_\phi ^5{\displaystyle \frac{E_Bm_B}{\sqrt{s}}}.`$ (4)
The upper sign corresponds to the decay of the resonance into a meson with the identical parity and vice versa. $`I`$ is the isospin factor and $`k_\phi `$, $`E_B`$, and $`m_B`$ are the meson momentum, energy and mass of the final baryon, respectively.

The coupling of the spin-$`\frac{5}{2}`$ resonances to the $`\omega N`$ final state is chosen to be

$`_{\omega N}^{\frac{5}{2}}=\overline{u}_R^{\mu \lambda }\mathrm{\Gamma }_V\left({\displaystyle \frac{\mathrm{g}_1}{4m_N^2}}\gamma ^\xi +\text{i}{\displaystyle \frac{\mathrm{g}_2}{8m_N^3}}_N^\xi +\text{i}{\displaystyle \frac{\mathrm{g}_3}{8m_N^3}}_\omega ^\xi \right)(_\xi ^\omega \mathrm{g}_{\mu \nu }_\mu ^\omega \mathrm{g}_{\xi \nu })u_N_\lambda ^\omega \omega ^\nu +h.c.,`$ (5)
where the matrix $`\mathrm{\Gamma }_V`$ is $`11`$ ($`\text{i}\gamma _5`$) for positive (negative) resonance parity and $`_N^\mu `$ ($`_\mu ^\omega `$) denotes the partial derivative of the nucleon and the $`\omega `$-meson fields, respectively. The above Lagrangian is constructed in the same manner as the one for spin-$`\frac{3}{2}`$ in Penner02 . Similar couplings were also used to describe electromagnetic processes Wolf ; David ; Hand ; Titov . Since the different parts of (5) contribute at different kinematical conditions we keep all three couplings as free parameters and vary them during the fit. As stressed in Penner02  the couplings in (5) can not be reliably derived from hadronic data only; photoproduction data are required as an additional constraint to fix the constants. Therefore, in the present study we do not try to fix all $`\omega N`$ couplings but look for the total $`\omega N`$ flux contribution for each resonance state. To save calculation time and for the sake of simplicity, we also do not introduce any off-shell parameters at the $`\omega `$-meson couplings (5); indeed we found no strong contribution from spin-$`\frac{5}{2}`$ waves to the $`\omega `$-production channel. The couplings (5) lead to the helicity-decay amplitudes

$`A_{\frac{3}{2}}^{\omega N}`$ $`=`$ $`{\displaystyle \frac{\sqrt{E_N\pm m_N}}{\sqrt{5m_N}}}{\displaystyle \frac{k_\omega }{4m_N^2}}\left(\mathrm{g}_1(m_Nm_R)+\mathrm{g}_2{\displaystyle \frac{(m_RE_Nm_N^2)}{2m_N}}+\mathrm{g}_3{\displaystyle \frac{m_\omega ^2}{2m_N^2}}\right),`$
$`A_{\frac{1}{2}}^{\omega N}`$ $`=`$ $`{\displaystyle \frac{\sqrt{E_N\pm m_N}}{\sqrt{10m_N}}}{\displaystyle \frac{k_\omega }{4m_N^2}}\left(\mathrm{g}_1(m_N\pm (m_R2E_N))+\mathrm{g}_2{\displaystyle \frac{(m_RE_Nm_N^2)}{2m_N}}+\mathrm{g}_3{\displaystyle \frac{m_\omega ^2}{2m_N^2}}\right),`$
$`A_0^{\omega N}`$ $`=`$ $`{\displaystyle \frac{\sqrt{(E_N\pm m_N)}}{\sqrt{5m_N}}}{\displaystyle \frac{k_\omega m_\omega }{4m_N^2}}\left(\mathrm{g}_1\pm \mathrm{g}_2{\displaystyle \frac{E_N}{2m_N}}\pm \mathrm{g}_3{\displaystyle \frac{(m_RE_N)}{2m_N}}\right),`$ (6)
with upper (lower) signs corresponding to positive (negative) resonance parity. The lower indices stand for the helicity $`\lambda `$ of the final $`\omega N`$ state $`\lambda =\lambda _V\lambda _N`$ where we use an abbreviation as follows: $`\lambda =`$ $`0:0+\frac{1}{2}`$, $`\frac{1}{2}:1\frac{1}{2}`$, $`\frac{3}{2}:1+\frac{1}{2}`$. The resonance $`\omega N`$ decay width $`\mathrm{\Gamma }^{\omega N}`$ is written as the sum over the three helicity amplitudes given above:

$`\mathrm{\Gamma }^{\omega N}={\displaystyle \frac{2}{(2J+1)}}{\displaystyle \frac{k_\omega m_N}{2\pi m_R}}{\displaystyle \underset{\lambda =0}{\overset{3/2}{}}}|A_\lambda ^{\omega N}|^2,`$ (7)
where $`J=\frac{5}{2}`$ for the spin-$`\frac{5}{2}`$ resonance decay.

For practical calculations we adopt the spin-$`\frac{5}{2}`$ projector in the form

$`P_{\frac{5}{2}}^{\mu \nu ,\rho \sigma }(q)`$ $`=`$ $`{\displaystyle \frac{1}{2}}(T^{\mu \rho }T^{\nu \sigma }+T^{\mu \sigma }T^{\nu \rho }){\displaystyle \frac{1}{5}}2T^{\mu \nu }T^{\rho \sigma }`$ (8)
$`+`$ $`{\displaystyle \frac{1}{10}}(T^{\mu \lambda }\gamma _\lambda \gamma _\delta T^{\delta \rho }T^{\nu \sigma }+T^{\nu \lambda }\gamma _\lambda \gamma _\delta T^{\delta \sigma }T^{\mu \rho }+T^{\mu \lambda }\gamma _\lambda \gamma _\delta T^{\delta \sigma }T^{\nu \rho }+T^{\nu \lambda }\gamma _\lambda \gamma _\delta T^{\delta \rho }T^{\mu \sigma }),`$
with

$`T^{\mu \nu }`$ $`=`$ $`\mathrm{g}^{\mu \nu }+{\displaystyle \frac{q^\mu q^\nu }{m_R^2}},`$ (9)
which has also been used in an analysis of $`K\mathrm{\Lambda }`$ photproduction David . As is well known the description of particles with spin $`J>\frac{1}{2}`$ leads to a number of different propagators which have non-zero off-shell lower-spin components. To control these components the off-shell projectors (3) are usually introduced. There were attempts to fix the off-shell parameters and remove the spin-$`\frac{1}{2}`$ contribution in the case of spin-$`\frac{3}{2}`$ particles nath . However, it has been shown ben89  that these contributions cannot be suppressed for any value of $`a`$. To overcome this problem Pascalutsa suggested gauge invariance as an additional constraint to fix the interaction Lagrangians for higher spins and remove the lower-spin components pascatim . Constructing the spin-$`\frac{3}{2}`$ interaction for a Rarita-Schwinger field $`u_{\frac{3}{2}}^\mu `$ by only allowing couplings to the gauge-invariant field tensor $`U_{\frac{3}{2}}^{\mu \nu }=^\mu u_{\frac{3}{2}}^\nu ^\nu u_{\frac{3}{2}}^\mu `$ Pascalutsa derived an interaction which (for example) for the $`\pi N\mathrm{\Delta }`$ coupling is

$`_{\pi N\mathrm{\Delta }}=f_\pi \overline{u}_N\gamma _5\gamma _\mu \stackrel{~}{U}^{\mu \nu }_\nu \phi +h.c.`$ (10)
where $`\stackrel{~}{U}^{\mu \nu }`$ is the tensor dual to $`U^{\mu \nu }`$: $`\stackrel{~}{U}^{\mu \nu }=\epsilon ^{\mu \nu \lambda \rho }U_{\lambda \rho }`$ and $`\epsilon ^{\mu \nu \lambda \rho }`$ is the Levi-Civita tensor. The same arguments can also be applied to spin-$`\frac{5}{2}`$ particles. In this case the amplitude of meson-baryon scattering can be obtained from the conventional amplitude by the replacement

$`\mathrm{\Gamma }_{\mu \nu }(p^{},k^{}){\displaystyle \frac{P_{\frac{5}{2}}^{\mu \nu ,\rho \sigma }(q)}{/qm_R}}\mathrm{\Gamma }_{\rho \sigma }(p,k)\mathrm{\Gamma }_{\mu \nu }(p^{},k^{}){\displaystyle \frac{𝒫_{\frac{5}{2}}^{\mu \nu ,\rho \sigma }(q)}{/qm_R}}\mathrm{\Gamma }_{\rho \sigma }(p,k){\displaystyle \frac{q^4}{m_R^4}},`$ (11)
where $`\mathrm{\Gamma }_{\rho \sigma }(p,k)`$ are vertex functions that follow from (2) and (5) by applying Feynman rules and the projector $`𝒫_{\frac{5}{2}}^{\mu \nu ,\rho \sigma }(q)`$ is obtained from (8, 9) by the replacement $`q^\mu q^\nu /m_R^2q^\mu q^\nu /q^2`$. This procedure is similar to that which has been used in the spin-$`\frac{3}{2}`$ case pascatim . As can be clearly seen, the conventional and the Pascalutsa descriptions give the same results for on-shell particles. It has been shown for the spin-$`\frac{3}{2}`$ case pasca01  , that both prescriptions are equivalent in the effective Lagrangian approach as long as additional contact interactions are taken into account when the Pascalutsa couplings are used. The differences between these descriptions have been discussed in pascatjon ; Penner02 ; lahiff  and here we perform calculations by using both approaches.

In order to take into account the internal structure of mesons and baryons each vertex is dressed by a corresponding formfactor:

$`F_p(q^2,m^2)`$ $`=`$ $`{\displaystyle \frac{\mathrm{\Lambda }^4}{\mathrm{\Lambda }^4+(q^2m^2)^2}}.`$ (12)
Here $`q`$ is the four momentum of the intermediate particle and $`\mathrm{\Lambda }`$ is a cutoff parameter. In Penner02  it has been shown that the formfactor (12) gives systematically better results as compared to other ones, therefore we do not use any other forms for $`F(q^2)`$. The cutoffs $`\mathrm{\Lambda }`$ in (12) are treated as free parameters and allowed to be varyed during the calculation. However we demand the same cutoffs in all channels for a given resonance spin $`J`$ : $`\mathrm{\Lambda }_{\pi N}^J=\mathrm{\Lambda }_{\pi \pi N}^J=\mathrm{\Lambda }_{\eta N}^J=\mathrm{}`$ etc., ($`J=\frac{1}{2},\frac{3}{2},\frac{5}{2}`$). This greatly reduces the number of free parameters; i.e. for all spin-$`\frac{5}{2}`$ resonances there is only one cutoff $`\mathrm{\Lambda }_{\frac{5}{2}}`$ for all decay channels.

To take into account contributions of the $`2\pi N`$ channel in our calculations we use the inelastic partial-wave cross section $`\sigma _{2\pi N}^{JI}`$ data extracted in manley84 . To this end the inelastic $`2\pi N`$ channel is parameterized by an effective $`\zeta N`$ channel where $`\zeta `$ is an effective isovector meson with mass $`m_\zeta =2m_\pi `$. Thus the $`\zeta N`$ is considered as a sum of different ($`\pi \mathrm{\Delta }`$, $`\rho N`$, etc.) contributions to the total partial-wave $`2\pi N`$ flux. We allow only resonance $`\zeta N`$-couplings since each background diagram would introduce a meaningless coupling parameter. Despite this approximation the studies feusti98 ; feusti99 ; sauermann ; Penner02  have achieved a good description of the total partial wave cross sections manley84  and we proceed in our calculations by using the above prescription. For the $`R\zeta N`$ interaction the same Lagrangians are used as for the $`R\pi N`$ couplings taking into account the positive parity of the $`\zeta `$ meson.

## III Details of calculations

In our previous work Penner02  a good description of all hadronic experimental data was achieved. Hence the best hadronic fit results from Penner02  for the conventional ( C-p-$`\pi +`$) and the Pascalutsa ( P-p-$`\pi +`$ ) prescriptions are used as starting points in our extended calculations. We apply the same database as in Penner02  with additional elastic $`\pi N`$ data for the spin-$`\frac{5}{2}`$ partial wave amplitudes taken from the VPI group analysis SM00 . For the $`2\pi N`$ channel we use the spin-$`\frac{5}{2}`$ partial wave cross sections derived in manley84 . Due to the lack of data for higher energies we confine ourselves to the energy region $`m_\pi +m_N\sqrt{s}2`$ GeV.

A complete discussion of the fitting procedure can be found in phd . Here we briefly give the main features of the calculations. During the fit a $`\chi ^2`$ minimization was performed, where $`\chi ^2`$ is defined as

$`\chi ^2={\displaystyle \frac{1}{N}}{\displaystyle \underset{n=1}{\overset{N}{}}}\left({\displaystyle \frac{x_c^nx_e^n}{\mathrm{\Delta }x_e^n}}\right)^2.`$ (13)
Here, $`N`$ is the total number of datapoints, $`x_c^n`$ and $`x_e^n`$ are calculated and experimental values and $`\mathrm{\Delta }x_e^n`$ is the experimental uncertainty of $`x_e^n`$. To reduce the number of free parameters the $`\pi N`$ and $`2\pi N`$ subset of the spin-$`\frac{5}{2}`$ resonance parameters was varied first to find a satisfying description of the $`\pi N`$ and $`2\pi N`$ data keeping all resonance and background couplings from C-p-$`\pi +`$ and P-p-$`\pi +`$ fixed. Since the Pascalutsa coupling is free of any lower-spin off-shell contributions the inclusion of additional spin-$`\frac{5}{2}`$ resonances does not lead to any modification of the $`\pi N`$ and $`2\pi N`$ lower partial-waves description. On the other hand the conventional couplings give rise to the lower $`\pi N`$ and $`2\pi N`$ partial waves and also modify $`\eta N`$, $`K\mathrm{\Sigma }`$, $`K\mathrm{\Lambda }`$ and $`\omega N`$ amplitudes due to rescattering effects even for zero couplings in these channels. Therefore, the simultaneous variation of the spin-$`\frac{3}{2}`$ and -$`\frac{5}{2}`$ off-shell parameters is also needed.

After a preliminary fitting of the spin-$`\frac{5}{2}`$-resonance masses and $`\pi N`$ and $`2\pi N`$ parameters we carry out an overall fit for all non- and resonance couplings in comparison with the available experimental hadronic data. To minimize the number of free parameters we vary only the two coupling constants $`\mathrm{g}_1`$, $`\mathrm{g}_2`$ in the Lagrangian (5). As we will see later, in Sec. IV, a successful description of $`\omega `$-meson data can be achieved by using these two couplings only.

The resulting $`\chi ^2`$ of our best overall hadronic fits are given in Table 1 in comparison with our previous results (last two lines). Here we keep the notation of Penner02 : C-p-$`\pi +(\frac{5}{2})`$ and P-p-$`\pi +(\frac{5}{2})`$ are the best new fit results for the conventional and the Pascalutsa coupling calculations. The third and fourth lines show the $`\chi ^2`$ from the previous study. We find a problem with the description of the $`D_{35}`$ partial wave so the resulting $`\chi _{\pi \pi }^2`$ turns out to be very large (see the discussion in the next section). Hence $`\chi _{\pi \pi }^2`$ values given in Table 1 are calculated by neglecting the $`\pi N`$ datapoints for the $`D_{35}`$ partial wave.

One sees from Table 1 that the inclusion of the spin-$`\frac{5}{2}`$ resonances leads to an improvement of $`\chi ^2`$ in almost all channels for calculations using the conventional spin-$`\frac{5}{2}`$ couplings. The only exception is the $`2\pi N`$ channel where the increase in $`\chi _{\pi 2\pi }^2`$ is mainly related to the description of the $`D_{15}`$ and $`F_{15}`$ partial waves (see next section). Calculations using the Pascalutsa prescription lead to a $`\chi ^2`$ at almost the same level of quality as for our previous results Penner02 . The obtained new $`\chi _{\pi \pi }^2`$ and $`\chi _{\pi 2\pi }^2`$ are calculated using experimental data from all $`\pi N`$ and $`2\pi N`$ partial waves up to spin-$`\frac{5}{2}`$. For a more reliable comparison with previous results, we have calculated $`\chi _{\pi \pi }^2`$ and $`\chi _{\pi 2\pi }^2`$ when only the spin-$`\frac{1}{2}`$ and -$`\frac{3}{2}`$ partial wave data were taken into account in (13). The obtained values for the conventional and the Pascalutsa coupling calculations (last two lines in Table 1) show that the inclusion of spin-$`\frac{5}{2}`$ resonances improves the description of the experimental data.

## IV Results and discussion

In this section we discuss the results of our calculations for the spin-$`\frac{5}{2}`$ waves. We stress that the $`\pi N`$ partial wave inelasticities are not fitted but obtained as a sum of the individual contributions from all open channels. The $`D_{15}(1675)`$, $`F_{15}(1680)`$, and $`F_{35}(1905)`$ resonances were included in our calculations. We have also found evidence for a second $`F_{15}`$ state around 1.98 GeV which is rated two-star by pdg . The results for the elastic $`\pi N\pi N`$ amplitudes and $`\pi N2\pi N`$ partial-wave cross sections are shown in Figs. 1 \- 3

The $`\pi N`$ and $`2\pi N`$ channels are found to be the dominant decay modes for all four states. In the following each spin-$`\frac{5}{2}`$ wave is discussed separately.

$`𝐃_{\mathrm{𝟏𝟓}}`$. The elastic VPI data show a single resonant peak which corresponds to the well established $`D_{15}(1675)`$ state. We find a good description of the elastic amplitude in both the C-p-$`\pi +(\frac{5}{2})`$ and the P-p-$`\pi +(\frac{5}{2})`$ calculations.

The $`2\pi N`$ data manley84  are systematically below the total inelasticity of the VPI group SM00 . This can be an indication that apart from $`2\pi N`$ there are additional contributions from other inelastic channels. However, in the analysis of Manley and Saleski manley92  as well as in the most recent study of Vrana et al. vrana  the total inelasticity in the $`D_{15}`$ wave is entirely explained by the resonance decay to the $`\pi \mathrm{\Delta }`$ channel. We also find no significant contributions from the $`\eta N`$, $`K\mathrm{\Lambda }`$, $`K\mathrm{\Sigma }`$, and $`\omega N`$ channels to the total $`\pi N`$ inelasticity in the present hadronic calculations. The calculated $`2\pi N`$ cross sections are found to be substantially above the data from manley84  in all fits. Indeed, the difference between the $`2\pi N`$ and inelasticity data runs into 2 mb at 1.67 GeV. This flux can be absorbed by neither $`\eta N`$, $`K\mathrm{\Lambda }`$, $`K\mathrm{\Sigma }`$, $`\omega N`$ channels, see Fig. 4. Thus we conclude that either the $`\pi N`$ and $`2\pi N`$ data are inconsistent with each other or other open channels (as 3$`\pi N`$) must be taken into account. To overcome this problem and to describe the $`\pi N`$ and $`2\pi N`$ data in the $`D_{15}`$ partial wave the original $`2\pi N`$ data error bars manley84  were weighted by a factor 3. The same procedure was also used by Vrana et al. vrana  and Cutkosky et al. cutkosky90  to fit the inelastic data.

In both conventional and Pascalutsa coupling calculations the total inelasticities in the $`D_{15}`$ wave almost coincide with the partial wave cross sections and therefore are not shown in Fig. 3 (left top). A good description of the inelasticity in the $`D_{15}`$ wave was achieved and the extracted resonance parameters are also in agreement with other findings (see next section).

$`𝐅_{\mathrm{𝟏𝟓}}`$. The $`F_{15}(1680)`$ and $`F_{15}(2000)`$ resonances are identified in this partial wave. The inclusion of the second resonance significantly improves the description of the $`\pi N`$ and $`2\pi N`$ experimental data in the higher-energy region. Some evidence for this state was also found in earlier works manley92 ; hohler . A visible inconsistency between the inelastic VPI data and the $`2\pi N`$ cross section from manley84  above 1.7 GeV can be seen in Fig. 3 (left bottom). The three data points at 1.7, 1.725, and 1.755 GeV have, therefore, not been included in our calculations. Finally we achieve a reasonable description for both $`\pi N`$ and $`2\pi N`$ data. The conventional and Pascalutsa coupling calculations give approximately the same results.

$`𝐅_{\mathrm{𝟑𝟓}}`$. A single resonance state $`F_{35}(1905)`$ was taken into account. Some other models find an additional lower-lying resonance with a mass of about 1.75 GeV manley92 ; cutkosky79 ; hohler ; vrana . However, we already find a good description of the elastic $`\pi N`$ amplitudes and the $`2\pi N`$ cross sections by only including the single $`F_{15}(1905)`$ state. The inclusion of a second state with somewhat lower mass leads to a worse description of the $`\pi N`$ and $`2\pi N`$ data due to the strong interference between the nearby states. The two $`2\pi N`$ data points at 1.87 and 1.91 GeV, which are apparently above the total inelasticity have not been included into calculations.

The total inelasticity in the $`F_{35}`$ partial wave almost coincides with the calculated $`2\pi N`$ cross section and is not shown in Fig. 3. Note, that the $`2\pi N`$ data at 1.7 GeV are slightly below the total inelasticity from SM00 . This could indicate that other inelastic channels give additional contributions to this partial wave.

There are also difficulties in the description of the $`2\pi N`$ low-energy tails of the $`D_{15}`$ and $`F_{15}`$ partial waves below 1.6 GeV, where the calculated cross sections are slightly below the $`2\pi N`$ data. The discrepancy leads to a significant rise in $`\chi _{\pi 2\pi }^2`$ (cf. Table 1). The same behavior has been found in our previous calculations for the $`D_{I3}`$ partial waves Penner02 . There, it has been suggested that the problem might be caused by the description of the $`2\pi N`$ channel in terms of an effective $`\zeta N`$ state. Indeed, the findings of manley92 ; vrana  show strong $`\pi \mathrm{\Delta }`$ decay ratios in all three $`D_{15}`$, $`F_{15}`$, and $`F_{35}`$ partial waves. The description of the $`2\pi N`$ channel in terms of the $`\rho N`$ and $`\pi \mathrm{\Delta }`$ channels may change the situation when taking into account the $`\rho N`$ and $`\pi \mathrm{\Delta }`$ phase spaces and corresponding spectral functions. Upcoming calculations will address this question.

$`𝐃_{\mathrm{𝟑𝟓}}`$. A single $`D_{35}(1930)`$ resonance is taken into account. However, there is no clear resonance structure in the $`\pi N`$ data for this partial wave. The data SM00  also show a total inelasticity at the 2 mb level whereas the $`2\pi N`$ channel was found to be negligible manley84 . It has been suggested manley84  that this channel could have an important inelastic $`3\pi N`$ contribution. Since the measured $`2\pi N`$ cross section is zero we have used the inelastic $`\pi N`$ data with enlarged error bars instead of the $`2\pi N`$ data to pin down the $`2\pi N`$ $`D_{35}`$ contributions. Even in this case we have found difficulties in the description of the $`D_{35}`$ partial wave. The $`\pi N`$ channel turns to be strongly influenced by the $`u`$-channel nucleon and resonance contributions which give significant contributions to the real part of $`D_{35}`$. As can be seen in Fig.2 the conventional and Pascalutsa coupling calculations cannot give even a rough description of the experimental data SM00 . The situation can be improved by either using the reduced nucleon cutoff $`\mathrm{\Lambda }_N`$ or by neglecting the nucleon $`u`$-channel contribution in the interaction kernel. The latter approximation has been used in the coupled-channel approach of Lutz et al. lutz . To illustrate this point we have carried out an additional fit for the reduced cutoff $`\mathrm{\Lambda }_N`$=0.91 taking only the $`\pi N`$ and $`2\pi N`$ data into account. The calculated $`\chi ^2`$ are $`\chi _{\pi \pi }^2`$=3.63 and $`\chi _{\pi 2\pi }^2`$=7.87 where the $`D_{35}`$ data are also taken into account in (13) (note, that all values in Table 1 are calculated by neglecting these datapoints ). The results for the $`D_{35}`$ partial wave are shown in Fig. 2 by the dotted line. In all calculations for $`D_{35}`$ presented in Fig. 2 the $`D_{35}(1930)`$ mass was found to be of about 2050 MeV. One sees that the calculations with a reduced nucleon cutoff lead to a better description of the $`D_{35}`$ data giving, however, a worse description of other $`\pi N`$ partial wave data. Note, that a reduction of the nucleon cutoff is required for a successful description of the lower-spin photoproduction multipoles Penner02 ; pm2  which also leads to a worsening in $`\chi ^2`$ for the $`\pi N`$ channel. Here we leave the problem of description of the $`D_{35}`$ partial wave for future study when the photoproduction data will be also included thus allowing more constrain for the background contributions.

Finally, we conclude that the main features of the considered spin-$`\frac{5}{2}`$ partial waves except $`D_{35}`$ are well reproduced. From  Figs. 1-3 one can see that there is no significant difference between the conventional (8) and the Pascalutsa (11) spin-$`\frac{5}{2}`$ couplings. The results for the lower-lying spin-$`\frac{1}{2}`$ and -$`\frac{3}{2}`$ partial waves are only slightly changed from our previous study Penner02  and we do not show them here.

## V Extracted resonance parameters

### V.1 Spin-$`\frac{5}{2}`$ states

The extracted parameters of the spin-$`\frac{5}{2}`$ resonances are presented in Table 2. We note that the total resonance widths calculated here do not necessarily coincide with the full widths at half maximum because of the energy dependence of the decay widths (4, 7) and the formfactors used Penner02 . We do not show here the parameters of the $`D_{35}(1930)`$ resonance because of problems in the $`D_{35}(1930)`$ partial wave (see the previous Section). Although a good description of the experimental data is achieved some differences in the extracted resonance parameters for the conventional and the Pascalutsa coupling calculations exist.

We obtain a little lower mass for the $`D_{15}(1675)`$ as compared to that obtained by Manley and Saleski manley92  and Vrana et al. vrana , but in agreement with other findings batinic ; cutkosky80 . The total width is found to be consistent with the results from cutkosky80 ; hohler ; vrana . In the $`\eta N`$ channel our calculations show a small ($``$0.6%) decay fraction which is somewhat higher than the value obtained by Batinić et al. : 0.1$`\pm 0.1`$ % batinic , whereas Vrana et al. give another bound: $`\pm 1`$%. We conclude that both fits give approximately the same results for the resonance masses and branching ratios.

The properties of the $`F_{15}(1680)`$ state are found to be in good agreement with the values recommended by pdg . We find a somewhat smaller branching ratio in the $`\eta N`$ channel as compared to that of batinic . However, the obtained value $`R_{\eta N}=`$0.1% is again in agreement with the findings of Vrana et al. vrana : $`\pm 1`$%. The parameters of the second $`F_{15}(2000)`$ resonance differ strongly in various analyses: Manley and Saleski give $`490\pm 310`$ MeV for the total decay width while other studies arndt95 ; hohler  find it at the level of $`95170`$ MeV. Moreover, this state has not been identified in the investigations of vrana ; batinic . Although we find different results for $`\mathrm{\Gamma }_{tot}`$ in the two independent calculations, the branching ratios are close to each other. A small decay width of about 4.3% is found for the $`\eta N`$ channel (C-p-$`\pi +`$ ($`\frac{5}{2}`$)). However, since the $`F_{15}(2000)`$ resonance is found to be strongly inelastic with 84-88% of inelasticity absorbed by the $`2\pi N`$ channel, the more rich $`2\pi N`$ data above 1.8 GeV (cf. Fig. 3) are needed for a reliable determination of the properties of this state.

The parameters of the $`F_{35}(1905)`$ state are in good agreement with pdg . Both fits give approximately the same result for the decay branching ratios.

Although the extracted resonance masses and total widths can differ for the conventional and the Pascalutsa descriptions we find that the branching ratios are almost identical in both cases. Apart from the $`\pi N`$ and $`2\pi N`$ final states we find no other significant contributions to the $`D_{15}`$, $`F_{15}`$, and $`F_{35}`$ waves. All considered resonances have a negligible decay ratio to the $`\eta N`$, $`K\mathrm{\Lambda }`$, $`K\mathrm{\Sigma }`$, and $`\omega N`$ channels. The only exception is the $`F_{15}(2000)`$ resonance where a small decay width to $`\eta N`$ has been found for the conventional coupling calculations. Note that there are also small contributions to the $`\omega N`$ channel. We corroborate the results of the previous study Penner02  where the main contribution to this channel is found to come from the $`P_{11}`$ and $`P_{13}`$ partial waves.

### V.2 The lower spin states

In Fig. 4 the results for the $`\eta N`$, $`K\mathrm{\Lambda }`$, $`K\mathrm{\Sigma }`$, and $`\omega N`$ total cross sections are shown. We find a good description of all available experimental data including the angle-differential observables in these final states. The coupled channel effects show up in a kink structure of the total $`\eta N`$, $`K^0\mathrm{\Sigma }^0`$, and $`K^+\mathrm{\Sigma }^{}`$ cross sections at 1.72 GeV reflecting the opening of the $`\omega N`$ channel. Both calculations give the same results for the total cross sections in all channels except the $`\pi ^{}p\eta n`$ reaction Penner02 . For comparison our previous best hadronic fit result C-p-$`\pi +`$ from Penner02  is shown by the dotted line. The calculated cross sections almost coincide with our previous results in the conventional coupling calculations. A visible difference between our previous and the new results is seen in the $`\omega N`$ total cross sections. Indeed, only a few datapoints are available above 1.8 GeV so that the $`\omega N`$ total cross section is not strongly constrained by the experimental data. This in turn leads to the different $`\omega N`$ resonance decay widths for the $`D_{13}(1950)`$ state as compared to our previous calculations Penner02 .

The extracted lower spin resonance properties are hardly changed in comparison with the previous findings Penner02 . However, the inclusion of the spin-$`\frac{5}{2}`$ states leads to some modification of the isospin-$`\frac{1}{2}`$ baryon resonance parameters. We discuss these states only when apparent differences with earlier studies are found.

The results for isospin-$`\frac{3}{2}`$($`\frac{1}{2}`$) resonance parameters are presented in Table 3 (4). In Tables 5 and 6 a comparison with the values given by the partical data group pdg  and parameters from manley92 ; vrana  are shown. All resonance states investigated in our previous work Penner02  were included in the present calculations. We corroborate all the resonances identified in Penner02 . One sees that the inclusion of spin-$`\frac{5}{2}`$ resonances hardly affects the results for the isospin-$`\frac{3}{2}`$ resonance properties.

Some deviations in comparison with our previous studies are found for the isospin-$`\frac{1}{2}`$ resonances, see Table 4. We obtain a somewhat larger width for the Roper resonance $`P_{11}(1440)`$ in the new C-p-$`\pi +`$($`\frac{5}{2}`$) calculations. Indeed the properties of this state are found to be very sensitive to background contributions Penner02 ; pm2 . The inclusion of the spin-$`\frac{5}{2}`$ states gives an additional lower-spin background which leads to the increase of the total width for the conventional spin-$`\frac{5}{2}`$ coupling calculation in comparison with that obtained in the previous study Penner02 . The branching ratios are found to be in agreement with the values recommended in pdg .

The $`P_{11}(1710)`$ resonance has a three-star status and its properties are not completely established pdg . The parameters of this state are also found to be strongly influenced by the lower spin off-shell contributions from the spin-$`\frac{5}{2}`$ resonances in the conventional coupling calculations. While the $`\pi N`$ decay width remains almost unchanged, the additional background affects the inelactic channels and the fit moves the strength from $`2\pi N`$ and $`\eta N`$ to the $`K\mathrm{\Sigma }`$ and $`\omega N`$ final states. This also leads to the decrease of the $`\mathrm{\Lambda }_{\frac{1}{2}}`$ (see Table 7). The resulting $`K\mathrm{\Sigma }`$ decay width turns out to be rather large: $`R_{K\mathrm{\Sigma }}`$=21%. We conclude that the properties of the $`P_{11}(1710)`$ state are rather sensitive to background contributions in the conventional coupling calculations. While the conventional couplings lead to different resonance properties in the $`P_{11}`$ partial wave as compared to our previous study the resonance parameters in the Pascalutsa coupling calculations are only slightly changed. The $`P_{11}(1710)`$ resonance width $`\mathrm{\Gamma }_{tot}`$=534(430) MeV obtained in the conventional (Pascalutsa) coupling calculation is in agreement with the findings manley92  (see Table 6) but smaller than the results from vrana ; arndt96 ; cutkosky90 . We also find the $`\eta N`$ ratio about 25-30%, close to the result of Batinić et al. batinic .

There are two resonances ( $`P_{13}(1720)`$ and $`P_{13}(1900)`$ ) included in the $`P_{13}`$ wave. It is interesting to look at the results for the $`P_{13}(1900)`$ resonance in the Pascalutsa coupling calculations. Although the Pascalutsa spin-$`\frac{5}{2}`$ coupling does not have any lower-spin off-shell background and therefore does not directly affect the $`\pi N`$ and $`2\pi N`$ lower-spin partial waves, the inclusion of the spin-$`\frac{5}{2}`$ resonances gives additional contributions to the $`\eta N`$, $`K\mathrm{\Lambda }`$,$`K\mathrm{\Sigma }`$, and $`\omega N`$ channels. The fit has tried to compensate these changings giving also somewhat different values for the $`\pi N`$ and $`2\pi N`$ decay widths as compared to our previous results. The same effect is seen in the properties of the $`D_{13}(1700)`$ resonance where noticeable changes in the $`2\pi N`$ and $`\omega N`$ channels are also observed (cf. Table 4). Note, that although the resonance mass of the $`P_{13}(1900)`$ is rather well fixed here, the inclusion of photoproduction data may change the situation Penner02 ; pm2 .

As in the case of the $`P_{11}(1710)`$ resonance, the properties of the $`D_{13}(1950)`$ state are also influenced by the spin-$`\frac{5}{2}`$ off-shell contributions in the conventional coupling calculations. The most striking difference between our previous and the new results for the $`D_{13}(1950)`$ state is found in the $`2\pi N`$ and $`\omega N`$ channels. Here the $`2\pi N`$-flux is moved to the $`\omega N`$ channel. On the other hand, the investigations of photo-induced reactions pm2  show that the $`D_{13}`$ resonances play a minor role in $`\omega N`$ when the photoproduction data are included. We corroborate our previous findings that using only $`\pi N\omega N`$ is not sufficient for a reliable determination of the $`\omega N`$ strength in each partial wave.

Finally, we conclude that the inclusion of the spin-$`\frac{5}{2}`$ resonances leads to some modifications of the resonance parameters extracted in our previous study Penner02 . While the properties of the isospin-$`\frac{3}{2}`$ states are hardly changed, the parameters of the isospin-$`\frac{1}{2}`$ resonances differ in some specific cases from those extracted in Penner02 . The largest changes of the decay ratios can be observed in the $`2\pi N`$, $`\eta N`$, $`K\mathrm{\Sigma }`$, and $`\omega N`$ channels, see Table 4. As stressed in Penner02  photoproduction data are inevitable for a reliable fixing of the resonance parameters.

The cutoff values obtained in the different calculations are shown in Table 7. Except for $`\mathrm{\Lambda }_{\frac{1}{2}}`$ in the conventional coupling calculations, the results for the cutoff parameters remain unchanged in comparison with the previous findings. The decrease in this cutoff is caused by the influence of the additional spin-$`\frac{1}{2}`$ background contributions from the newly incorporated spin-$`\frac{5}{2}`$ resonances. Indeed, as discussed above, the inclusion of these states gives strong contributions to the $`P_{11}`$ partial wave which increases the $`P_{11}(1440)`$ and the $`P_{11}(1710)`$ total widths. This effect leads to the modification of the spin-$`\frac{1}{2}`$ cuff-off giving a somewhat lower value as compared to our previous results. The large difference in $`\mathrm{\Lambda }_t`$ between the conventional and the Pascalutsa coupling calculations is related to the need for a larger $`t`$-channel non-resonant background in case of the Pascalutsa coupling calculations (see discussion in Penner02 ).

## VI Summary and outlook

We have performed a first investigation of the pion-induced reactions on the nucleon within the effective Lagrangian $`K`$-matrix approach which includes the higher spin-$`\frac{5}{2}`$ resonances. To investigate the influence of additional background from the spin-$`\frac{3}{2}`$ and -$`\frac{5}{2}`$ resonances calculations using the conventional and Pascalutsa higher-spin couplings have been carried out. A good description of the available experimental data has been achieved in all $`\pi N`$, $`2\pi N`$, $`\eta N`$, $`K\mathrm{\Lambda }`$, $`K\mathrm{\Sigma }`$, and $`\omega N`$ final states within both frameworks giving however a somewhat worse $`\chi ^2`$ for the Pascalutsa coupling prescription. Apart from $`2\pi N`$ we find no significant contributions from other channels to the total $`\pi N`$ inelasticities in the spin-$`\frac{5}{2}`$ waves. Nevertheless, the inclusion of the higher-spin states improves the $`\chi ^2`$ in almost all channels.

We have also found evidence for the $`F_{15}(2000)`$ resonance which is rated two-star by pdg  and has not been included in the most recent resonance analysis by Vrana et al. vrana . The small $`\pi N`$ decay ratio shows the necessity for more precise $`2\pi N`$ data to identify this state more reliably in the purely hadronic calculations. For most resonances the extracted parameters for the lower-spin states have only slightly changed in the new calculations compared to those obtained in our previous study Penner02 . However, for some resonances deviations from Penner02  for the pure hadronic fits are observed. This underlines the necessity of the inclusion of photoproduction data to fix the resonance couplings with certainty. The extracted cutoff parameters are also in general identical to those obtained in the previous study.

We are proceeding with the extension of our model by performing a combined analysis of pion- and photon-induced reactions taking into account spin-$`\frac{5}{2}`$ states. Moreover the decomposition of the $`2\pi N`$ channel into intermediate $`\rho N`$, $`\pi \mathrm{\Delta }`$ etc. states will be the subject of further investigations.


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# The anomalous lepton magnetic moment, LFV decays and the fourth generation

## Acknowledgments

This research is supported by the the Chinese Postdoctoral Science Foundation and CAS K.C. Wong Postdoctoral Research Award Fund. We are grateful to prof. C.S. Huang and Prof. X.M Zhang for useful discussions.


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# On the effects of surrogacy of energy dissipation in determining the intermittency exponent in fully developed turbulence

## Abstract

The two-point correlation function of the energy dissipation, obtained from a one-point time record of an atmospheric boundary layer, reveals a rigorous power-law scaling with intermittency exponent $`\mu 0.20`$ over almost the entire inertial range of scales. However, for the related integral moment, the power-law scaling is restricted to the upper part of the inertial range only. This observation is explained in terms of the operational surrogacy of the construction of energy dissipation, which influences the behaviour of the correlation function for small separation distances.

PACS: 47.27.Jv High-Reynolds-number turbulence;
05.40.-a Fluctuation phenomena, random processes, noise, and Brownian motion;
02.50.Sk Multivariate analysis

Time records of turbulent velocity at a single point in space, obtained using a hot-wire or a laser Doppler anemometer, are usually interpreted, via Taylor’s frozen flow hypothesis, as one-dimensional spatial cuts through the flow. Velocity structure functions can be obtained readily from such observables. In addition to the velocity, other quantities of interest include enstrophy and energy dissipation. These quantities cannot be constructed in full from the measured one-point velocity time series (of one or two components of velocity) and so are replaced for further analysis by the so-called surrogate fields. These surrogate fields usually take the form of a single component of a many-component field. In this note we concentrate on the surrogacy issue of energy dissipation and discuss its impact on the extraction of the intermittency exponent.

To illustrate the issue, we choose turbulence measurements in an atmospheric boundary layer, made under nominally steady and nearly neutral conditions, in which a hot-wire probe mounted on top of a tower recorded time-series of both streamwise and vertical velocity components; for details of the experimental setup, see Ref. DHR00 . The frozen flow hypothesis has been applied to convert the time series into spatial cuts. Upon using the method of Ref. LOEF , the Reynolds number $`R_\lambda =\sqrt{u^2}\lambda /\nu `$, based on the Taylor microscale $`\lambda =\sqrt{u^2/(u/x)^2}`$, was determined to be 9000. The angular brackets denote a temporal average throughout the paper. The estimated ratio between integral length $`L`$, defined through the integral of the two-point correlation of the component velocity fluctuation in the streamwise direction, and the dissipation scale $`\eta =(\nu ^3/\epsilon )^{1/4}`$, is $`5\times 10^4`$. In units of $`L`$ the record length of the time series is $`L_{\mathrm{record}}/L=1000`$. The inertial range of scales is determined by examining the scaling of the third-order structure function; within the inertial range so determined, the power spectra show a well-defined slope close to $`5/3`$. Because of instrument and cable noise, the spectral density has some amount of noise contamination towards the smallest scales. In order to ensure a proper construction of the derivatives $`v_i/x=(v_i(x+\mathrm{\Delta }x)v_i(x))/\mathrm{\Delta }x`$, the noise part has been removed from the velocity signal by using a Wiener filter.

The true energy dissipation rate

$$\epsilon (\stackrel{}{x})=\frac{\nu }{2}\underset{i,j}{}(_iv_j+_jv_i)^2,$$
(1)
where the indices $`i`$ and $`j`$ represent the coordinate axes, cannot be constructed from the recorded time series. This is so because only the longitudinal and transverse components $`v_x`$ and $`v_y`$ of the velocity, along the streamwise direction $`x`$ and the normal direction $`y`$ respectively, are accessible. Hence, the true energy dissipation is replaced by a surrogate proposal. One possibility is

$$\epsilon _{\mathrm{surr1}}(x)=15\nu (_xv_x(x))^2,$$
(2)
which, upon assuming isotropy, equals true dissipation on the average.

For the extraction of the intermittency exponent, the two-point correlation function based on the energy dissipation field has been proposed earlier MON75 . Figure 1 shows the normalized two-point correlator $`\epsilon _{\mathrm{surr1}}(x+d)\epsilon _{\mathrm{surr1}}(x)/\epsilon _{\mathrm{surr1}}(x)^2`$.

It reveals a good scaling $`d^\mu `$ with constant intermittency exponent, $`\mu =0.20`$, over the extended scaling range $`15\eta d0.3L`$, covering most of the inertial range. This result is in full agreement with older findings on turbulent jet and atmospheric boundary layer flows ANT82 ; SRE93 , which have also observed a clear and extended scaling range behaviour for the two-point correlator with about the same value for the intermittency exponent.

The two-point correlator of the surrogate energy dissipation is only one tool for the extraction of the intermittency exponent. Another approach that is natural from the perspective of the multifractal picture of turbulence MAN74 ; MEN91 ; FRI95  employs the second-order moment $`\epsilon _l^2`$ of the coarse-grained amplitude $`\epsilon _l=l^1_l\epsilon _{\mathrm{surr}}(x)𝑑x`$. Figure 2 shows $`\epsilon _l^2`$ as a function of the averaging scale $`l`$.

The logarithmic local slope $`d\mathrm{ln}\epsilon _l^2/d\mathrm{ln}l`$ reveals a scale-independent scaling exponent, which coincides roughly with the previously found value $`\mu =0.20`$ for the intermittency exponent. However, a peculiarity remains: the logarithmic local slope in Fig. 2 is constant (or nearly so) only in the upper part of the inertial range, and not over the full range, as found for the two-point correlator. One purpose of this paper is to understand this puzzle.

To proceed, we note that the second-order moment and the two-point correlator are closely related (see MON75 ) via

$$\epsilon _l^2=\frac{1}{l^2}_l𝑑x_1_l𝑑x_2\epsilon _{\mathrm{surr}}(x_1)\epsilon _{\mathrm{surr}}(x_2).$$
(3)
The left-hand-side represents a box integral over the two-point correlator and may thus be called an integral moment. To see when the integral moment shows the same scaling exponent as the two-point correlator, and in what range of scales, we assume the simplified functional form

$$\epsilon _{\mathrm{surr}}(x+d)\epsilon _{\mathrm{surr}}(x)=\{\begin{array}{cc}c\hfill & (d<\eta ^{})\hfill \\ a(\eta ^{}/d)^\mu \hfill & (\eta ^{}dL^{})\hfill \\ 1\hfill & (dL^{})\hfill \end{array}$$
(4)
with $`\epsilon _{\mathrm{surr}}=1`$, where $`a(\eta ^{}/L^{})^\mu =1`$ guarantees continuity at the decorrelation length $`d=L^{}`$; the parameter $`c`$ is left free for later purposes and $`\eta ^{}`$ and $`L^{}`$ are representative small and large length scale, respectively. Upon inserting (4) into (3) we arrive at

$$\epsilon _l^2=\frac{2a}{(1\mu )(2\mu )}\left(\frac{\eta ^{}}{l}\right)^\mu +2\left(c\frac{a}{1\mu }\right)\left(\frac{\eta ^{}}{l}\right)+\left(\frac{a}{1\mu /2}c\right)\left(\frac{\eta ^{}}{l}\right)^2,$$
(5)
valid for $`\eta ^{}lL^{}`$. The first term is the targeted scaling term. The last two terms represent corrections to rigorous scaling. For increasing $`l\eta ^{}`$ they fall off faster than the scaling term. If we were to fine-tune the leading-order correction to zero, then $`c=a/(1\mu )`$. Given that $`\mu =0.20`$, the correction to the leading order term also becomes very small. A closer look at Fig. 1, reveals that a constant $`c=a/(1\mu )`$ is too small to approximate the small-scale behaviour of the two-point correlation. Consequently, the correction terms are pronounced for small $`l`$ and extend far into the inertial range before becoming negligible. This explains qualitatively the observed scale-dependence of the second-order integral moment: only in the upper part of the inertial range does the scaling term with exponent $`\mu `$ dominate, whereas for the lower part strong deviations set in, due to the behaviour of the two-point correlation function for very small scales.

Figure 1 reveals another apparent puzzle: as the two-point distance approaches $`\eta `$ the two-point correlation increases stronger than is suggested by the extrapolation of scaling behaviour. This is against intuition, since the onset of dissipation is expected to smooth out the fine structure, instead of building it up. We now offer a tentative explanation, which reflects the delicate issue of the surrogacy of the energy dissipation field. The two-point correlator shown in Fig. 1 is based on the surrogate energy dissipation field (2) constructed from the longitudinal velocity component. Other constructions, such as

$`\epsilon _{\mathrm{surr2}}(x)`$ $`=`$ $`{\displaystyle \frac{15}{2}}\nu (_xv_y(x))^2,`$ (6)
$`\epsilon _{\mathrm{surr3}}(x)`$ $`=`$ $`{\displaystyle \frac{15}{4}}\nu \left[2(_xv_x(x))^2+(_xv_y(x))^2\right],`$ (7)
are also possible. The former is based on the transverse velocity component alone, whereas the latter combines longitudinal and transverse components. On average, both constructions are equal in their mean value to the true energy dissipation field (1), assuming isotropy.

Figure 3 compares the two-point correlator obtained from the surrogate quantities (2), (6) and (7).

All three variants reveal a rigorous power-law scaling behaviour within the extended inertial range $`15\eta d0.3L`$ and the corresponding scaling exponents are within $`\mu =0.20\pm 0.01`$, showing little differences. Only for small two-point distances $`d\eta `$ the two-point correlators begin to differ. Whereas the variants based on (2) and (6) practically remain identical, the two-point correlations based on (7) are weaker for $`d10\eta `$; see inset of Fig. 3. In view of the simplified description (4) this implies that the constant $`c`$ is smaller for the two-point correlator based on (7) than those based on (2) and (6). As a consequence the leading order corrections in the expression (5) for the integral moment also become smaller, so that the scaling term should begin to dominate even at smaller length scales $`l`$. Figure 2 confirms this view: the local slope of the integral moment based on the surrogate field (7) becomes constant at smaller scales than for (2); the upper limit on the scaling range is the same for the two cases.

When compared to the true energy dissipation (1), the surrogate (7) appears to be closer to (1) than the other two variants (2) and (6). We might model the amplitude of the surrogate field in terms of the amplitude of the true field by the relationship

$$\epsilon _{\mathrm{surr}}(x)=\epsilon (x)\left(1+f(x)\right),$$
(8)
where $`f(x)`$ behaves as a noise with mean zero. From the defining equations (2), (6) and (7) we get $`\epsilon _{\mathrm{surr3}}=(\epsilon _{\mathrm{surr1}}+\epsilon _{\mathrm{surr2}})/2=\epsilon [1+(f_1+f_2)/2]`$, so that in comparison with $`f_1`$ and $`f_2`$ the noise fluctuation $`f_3=(f_1+f_2)/2`$ is reduced. Hence, this allows us to speculate that if we add more terms from the full list of (1), the extra-strong two-point correlations at small separation distances $`d15\eta `$ reduce further, perhaps even vanish once the surrogate field has converged to the true field. A quick numerical investigation, using a shear turbulence code SCH01  for $`R_\lambda =99`$, reveals that the two-point correlation functions of the surrogate quantities are identical to that of true energy dissipation, except for very small distances, where the surrogate field possesses extra-strong correlations. While a more detailed investigation is called for, this finding indicates the importance of the subtle surrogacy issue when interpreting data. It appears clear that the surrogacy of the energy dissipation field restricts the rigorous scaling of the second-order integral moment to the upper part of the inertial range; fortunately, this leaves the rigorous scaling of the two-point correlation function untouched over that part of the inertial range.

Considering the behaviour of the surrogate correlators for small separation distances in terms of the modeling relation (8), the noise field amplitudes cannot be expected to be uncorrelated, i.e. $`f(x_1)f(x_2)f^2\delta (x_1x_2)`$, but should show correlations up to some separation distance. Empirically, this seems to occur within the range $`|x_1x_2|15\eta `$. For shorter distances, the extra-strong correlation sets in for the two-point correlators based on the surrogate fields. A quantity related to the noise correlations is the two-point correlation of the velocity gradient field. Figure 4 shows $`(_xv_i(x+d))(_xv_i(x))`$ for the measured longitudinal ($`v_i=v_x`$) and transverse ($`v_i=v_y`$) velocity components. All two-point correlations show correlations up to $`d30\eta `$ and become zero for larger distances.

The main message of this simple view on the surrogacy issue of the energy dissipation field is two-fold: (i) Two-point correlation functions of the surrogate energy dissipation field reveal rigorous scaling that is identical to the two-point correlation function of the true energy dissipation for two-point distances larger than about fifteen times the dissipation scale. (ii) The surrogacy of the energy dissipation modifies the two-point correlations for distances below $`d15\eta `$ and is responsible for restricting the power-law scaling behaviour of the integral moment to the upper part of the inertial range. A direct consequence of statements (i) and (ii) is that for the extraction of the intermittency exponent it is advantageous to use the two-point correlator. In view of the extended scaling range $`15\eta d0.3L`$ of the two-point correlator of the energy dissipation, it appears that the intuitive, but phenomenological, picture of the scale-invariant energy cascade contains more truth than generally anticipated. Without further processing such as Extended Self Similarity BEN93  or $`SO(3)`$ decomposition LVO97 ; ARA98 ; KUR00 , conventional velocity structure functions in shear flows do not show a rigorous power-law scaling behaviour. This assigns fields such as the energy dissipation a more fundamental role than that of the velocity increments. As this inference is based on data analysis alone, it does not offer any deep theoretical explanation but requires one.

###### Acknowledgements.

The authors acknowledge fruitful discussions with Jürgen Schmiegel, Thomas Dziekan, Hans Eggers, Jörg Schumacher, Jahanshah Davoudi, Jean-François Pinton and Joachim Peinke. J.C. acknowledges support from DAAD.


text:
# Analytical description of Recurrence Plots of white noise and chaotic processes

## 1 Introduction

The Recurrence Quantification Analysis (RQA) quantifies structures found in Recurrence Plots (RPs) to yield a deeper understanding of the underlying process of a given time series . Even though this method is widely applied , the scarce mathematical description is a main drawback. First steps in the direction of an analytical description were made by Faure et al. , who gave analytical results for the cumulative distribution of diagonals $`P_\epsilon ^c(l)`$ in RPs in the case of chaotic maps and linked the slope of this distribution to the Kolmogorov-Sinai entropy. Gao and Cai  related the distribution $`P_\epsilon ^c(l)`$ to the largest Lyapunov exponent and the information dimension.
In this paper we give an analytical expression for the distribution of diagonals in RP in the case of stochastic processes and extend the results of  to chaotic flows. Further we compare our approach with the Grassberger-Procaccia (G-P) algorithm  and show some advantages of the RP method estimating some invariants of the dynamics, such as the correlation entropy. One of the most remarkable differences between our approach and the G-P algorithm, is that we find two different scaling regions for chaotic flows, such as the Rössler system, instead of the single one obtained with the G-P algorithm. This new scaling region can be linked to the geometry of the attractor and defines another characteristic time scale of the system. Beyond we propose optimized measures for the identification of relevant structures in the RP.
The outline of this paper is as follows. In Sec. 2 we briefly introduce RPs. After considering in Sec. 3 the RPs of white noise, we proceed to general chaotic system (Sec.4). Then, we exemplify our theoretical results for the Rössler system (Sec.5) and present the two different scaling regions that characterize the system. Finally, we propose to estimate main characteristics of nonlinear systems from the RP which extends the importance of the RQA (Sec. 6).

## 2 Recurrence Plots and Recurrence Quantification Analysis

RPs were introduced to simply visualize the behavior of trajectories in phase space . Suppose we have a dynamical system represented by the trajectory $`\{\stackrel{}{x}_i\}`$ for $`i=1,\mathrm{},N`$ in a $`d`$-dimensional phase space. Then we compute the matrix

$$𝐑_{i,j}=\mathrm{\Theta }(\epsilon \left|\stackrel{}{x}_i\stackrel{}{x}_j\right|),i,j=1\mathrm{}N,$$
(1)
where $`\epsilon `$ is a predefined threshold and $`\mathrm{\Theta }()`$ is the Heaviside function 111The norm used in Eq. 1 is in principle arbitrary. For theoretical reasons, that we will present later, it is preferable to use the maximum norm. However the numerical simulations of this paper are based on the Euclidian norm to make the results comparable with the literature. The theoretical results of this paper hold for both choices of the norm.. The graphical representation of $`𝐑_{i,j}`$ called Recurrence Plot is yielded encoding the value one as ”black” and zero as ”white” point. A homogeneous plot with mainly single points may indicate a mainly stochastic system. Paling away from the main diagonal may indicate a drift i.e. non-stationarity of the time series. A main advantage of this method is that it allows to apply it to nonstationary data .
To quantify the structures that are found in RPs, the Recurrence Quantification Analysis (RQA) was proposed . There are different measures that can be considered in the RQA. One crucial point for these measures is the distribution of the lengths of the diagonal lines $`P_\epsilon (l)`$ that are found in the plot. In the case of deterministic systems the diagonal lines mean that trajectories in the phase space are close to each other on time scales that correspond to the lengths of the diagonals. In the next sections we show that there is a relationship between $`P_\epsilon (l)`$ and the correlation entropy. On the other hand we compute the distribution of diagonals for random processes to see that even in this case, there are some diagonals which can lead to pitfalls in the interpretation of the RQA because noise is inevitable in experimental systems. A more detailed discussion of this problem is given in .

## 3 Results for white noise

In this section we compute analytically the probability to find a black or recurrence point and the distribution of diagonals of length $`l`$ in the RP in the case of independent noise. The probability to find a recurrence point in the RP is given by

$$P_b(\epsilon )=\underset{N\mathrm{}}{lim}\frac{1}{N^2}\underset{i,j=1}{\overset{N}{}}𝐑_{i,j},$$
(2)
and the probability to find a diagonal of at least length $`l`$ in the RP is defined as

$$P_\epsilon ^c(l)=\underset{N\mathrm{}}{lim}\frac{1}{N^2}\underset{i,j=1}{\overset{N}{}}\underset{m=0}{\overset{l1}{}}𝐑_{i+m,j+m},$$
(3)
where $`c`$ stands for cumulative. Note that $`P_b(\epsilon )=P_\epsilon (1)`$.
We consider a random variable $`X`$ with probability density $`\rho (x)`$. Suppose that $`\{x_i\}`$ for $`i=1,\mathrm{},N`$ is a realization of $`X`$ and we are interested in the distribution of the distances of each point to all other points of the time series. This can be done by computing the convolution of the density $`\rho ()`$

$$R(x)=\rho (x)\rho (x).$$
(4)
$`P_b(\epsilon )`$ is then gained by integrating $`R(x)`$ over $`[\epsilon ,\epsilon ]`$

$$P_b(\epsilon )=_\epsilon ^\epsilon R(x)𝑑x=2_0^\epsilon R(x)𝑑x.$$
(5)
Note that $`P_b(\epsilon )`$ is invariant against shuffling of the data. For $`[0,1]`$ uniformly distributed noise, $`R(x)`$ is given by

$$R(x)=\{\begin{array}{cc}1\left|x\right|\hfill & \text{if }\left|x\right|<1\hfill \\ 0\hfill & \text{else}\hfill \end{array}$$
(6)
and hence the probability $`P_b(\epsilon )`$ for RPs and CRPs is given by

$$P_b(\epsilon )=2\epsilon \epsilon ^2+\mathrm{\Theta }\left(\epsilon 1\right)\left[12\epsilon +\epsilon ^2\right]$$
(7)
For Gaussian white noise one finds $`P_b(\epsilon )=\text{erf}\left(\frac{\epsilon }{2\sigma }\right)`$, where $`\sigma `$ is the standard deviation. Now it is straightforward to compute $`P_\epsilon ^c(l)`$ in the in CRPs (in RPs only asymptotically). As the noise is independent, we obtain

$$P_\epsilon ^c(l)=P_b(\epsilon )^l.$$
(8)
The probability to find a recurrence point $`P_b(\epsilon )`$ is in both RPs and CRPs independent of the preceeding point on the diagonal (except in the main diagonal). Eq. (8) shows that the probability to find a line of length $`l`$ decreases exponentially with $`l`$. For our example of uniformly distributed noise we get

$$P_\epsilon ^c(l)=\left(2\epsilon \epsilon ^2\right)^l.$$
(9)
Note that in this case the exponential decay depends on $`\epsilon `$.

## 4 Results for chaotic systems

We present in this section an approach for chaotic systems. It is an extension of the results presented in  for chaotic maps and also covers general chaotic flows. To estimate the distribution of the diagonals in the RP, we start with the correlation integral

$$C(\epsilon )=\underset{N\mathrm{}}{lim}\frac{1}{N^2}\times \{\text{number of pairs }(i,j)\text{ with}\left|\stackrel{}{x}_i\stackrel{}{x}_j\right|<\epsilon \}.$$
(10)
Note that the definition of $`P_b(\epsilon )`$ coincides with the definition of the correlation integral

$$C(\epsilon )=\underset{N\mathrm{}}{lim}\frac{1}{N^2}\underset{i=1}{\overset{N}{}}\mathrm{\Theta }\left(\left|\stackrel{}{x}_i\stackrel{}{x}_j\right|\epsilon \right)\stackrel{\text{Eq.1}}{=}\underset{N\mathrm{}}{lim}\frac{1}{N^2}\underset{i,j=1}{\overset{N}{}}𝐑_{i,j}=P_b(\epsilon ).$$
(11)
This fact allows to link the known results about the correlation integral and the structures in RPs.
We consider a trajectory $`\stackrel{}{x}(t)`$ in the basin of attraction of an attractor in the $`d`$-dimensional phase space and the state of the system is measured at time intervals $`\tau `$. Let $`\{1,2,\mathrm{},M(\epsilon )\}`$ be a partition of the attractor in boxes of size $`\epsilon `$. Then $`p(i_1,\mathrm{},i_l)`$ denotes the joint probability that $`\stackrel{}{x}(t=\tau )`$ is in the box $`i_1`$, $`\stackrel{}{x}(t=2\tau )`$ is in the box $`i_2`$, …, and $`\stackrel{}{x}(t=l\tau )`$ is in the box $`i_l`$. The order-2 Rényi entropy  is then defined as

$$K_2=\underset{\tau 0}{lim}\underset{\epsilon 0}{lim}\underset{l\mathrm{}}{lim}\frac{1}{l\tau }\mathrm{ln}\underset{i_1,\mathrm{},i_l}{}p^2(i_1,\mathrm{},i_l).$$
(12)
We can approximate $`p(i_1,\mathrm{},i_l)`$ by the probability $`P_{t,l}(\stackrel{}{x},\epsilon )`$ of finding a sequence of points in boxes of length $`\epsilon `$ about $`\stackrel{}{x}(t=\tau )`$, $`\stackrel{}{x}(t=2\tau )`$, …, $`\stackrel{}{x}(t=l\tau )`$. Assuming that the system is ergodic, which is always the case for chaotic systems as they are mixing, we obtain

$$\underset{i_1,\mathrm{},i_l}{}p^2(i_1,\mathrm{},i_l)=\frac{1}{N}\underset{t=1}{\overset{N}{}}p_t(i_1,\mathrm{},i_l)\frac{1}{N}\underset{t=1}{\overset{N}{}}P_{t,l}(\stackrel{}{x},\epsilon ),$$
(13)
where $`p_t(i_1,\mathrm{},i_l)`$ represents the probability of being in the box $`i_1`$ at time $`t=\tau `$, in the box $`i_2`$ at time $`t=2\tau `$, … and in the box $`i_l`$ at time $`t=l\tau `$. Further we can express $`P_{t,l}(\stackrel{}{x},\epsilon )`$ by means of the recurrence matrix

$$P_{t,l}(\stackrel{}{x},\epsilon )=\frac{1}{N}\underset{s=1}{\overset{N}{}}\underset{m=0}{\overset{l1}{}}\mathrm{\Theta }\left(\epsilon |\stackrel{}{x}_{t+m}\stackrel{}{x}_{s+m}|\right)=\frac{1}{N}\underset{s=1}{\overset{N}{}}\underset{m=0}{\overset{l1}{}}𝐑_{t+m,s+m}.$$
(14)
Hence we obtain an estimator for the order-2 Rényi entropy by means of the RP

$$\widehat{K_2}(\epsilon ,l)=\frac{1}{l\tau }\mathrm{ln}\underset{()}{\underset{}{\left(\frac{1}{N^2}\underset{t,s=1}{\overset{N}{}}\underset{m=0}{\overset{l1}{}}𝐑_{t+m,s+m}\right)}}.$$
(15)
Note that $`()`$ is the cumulative distribution of diagonal lines $`P_\epsilon ^c(l)`$ (Eq. (3)). Therefore, if we represent $`P_\epsilon ^c(l)`$ in a logarithmic scale versus $`l`$ we should obtain a straight line with slope $`\widehat{K}_2(\epsilon )\tau `$ for large $`l`$’s.
On the other hand, in the G-P algorithm the $`l`$-dimensional correlation integral is defined as

$$\begin{array}{c}\hfill C_l(\epsilon )=\underset{N\mathrm{}}{lim}\frac{1}{N^2}\underset{t,s=1}{\overset{N}{}}\mathrm{\Theta }\left(\epsilon \left(\underset{k=0}{\overset{l1}{}}\left|\stackrel{}{x}_{i+k}\stackrel{}{x}_{j+k}\right|^2\right)^{1/2}\right).\end{array}$$
(16)
Grassberger and Procaccia  state that due to the exponential divergence of the trajectories, requiring

$$\underset{k=0}{\overset{l1}{}}\left|\stackrel{}{x}_{i+k}\stackrel{}{x}_{j+k}\right|^2\epsilon ^2$$
(17)
is essentially equivalent to

$$\left|\stackrel{}{x}_{i+k}\stackrel{}{x}_{j+k}\right|<\epsilon \text{for}k=1,\mathrm{},l$$
(18)
which leads to the ansatz:

$$C_l(\epsilon )\epsilon ^\nu \mathrm{exp}(l\tau K_2).$$
(19)
Further they make use of Takens embedding theorem  and reconstruct the whole trajectory from $`l`$ measurements of any single coordinate. Hence they consider

$$\begin{array}{c}\hfill \stackrel{~}{C}_l(\epsilon )=\underset{N\mathrm{}}{lim}\frac{1}{N^2}\underset{t,s=1}{\overset{N}{}}\mathrm{\Theta }\left(\epsilon \left(\underset{k=0}{\overset{l1}{}}\left|x_{i+k}x_{j+k}\right|^2\right)^{1/2}\right)\end{array}$$
(20)
and use the same ansatz Eq. (19) for $`\stackrel{~}{C}_l(\epsilon )`$. Then, the G-P algorithm obtains an estimator of $`K_2`$ considering

$$\stackrel{~}{K}_2(\epsilon ,l)=\frac{1}{\tau }\mathrm{ln}\frac{\stackrel{~}{C}_l(\epsilon )}{\stackrel{~}{C}_{l+1}(\epsilon )}.$$
(21)
Due to the similarity of the RP approach to the G-P one, we state

$$P_\epsilon ^c(l)\underset{i_1,\mathrm{},i_l}{}p^2(i_1,\mathrm{},i_l)\stackrel{~}{C}_l(\epsilon )\epsilon ^\nu \mathrm{exp}(l\tau K_2).$$
(22)
The difference between both approaches is that in $`P_\epsilon ^c(l)`$ we further consider information about $`l`$ vectors, whereas in $`\stackrel{~}{C}_l(\epsilon )`$ we have just information about $`l`$ coordinates. Besides this, in the RP approach $`l`$ is a length in the plot, whereas in the G-P algorithm it means the embedding dimension. As $`K_2`$ is defined for $`l\mathrm{}`$, the RP approach seems to be more appropriate than the G-P one, as it is always problematic to use very high embedding dimensions .
A further advantage of the RP method is that it does not make use of the approximation that Eq. (17) is essentially equivalent to Eq. (18). The quantity that enters the RPs is directly linked to the conditions Eq. (18) and hence uses one approximation less than the G-P method.
One open question for both methods is the determination of the scaling regions. It is somewhat subjective and makes a rigorous error estimation problematic. For the cases considered in this paper we have found that 10,000 data points assure reliable results for both methods. Even 5,000 data points allow for a reasonable estimation, whereas 3,000 data points or less yield very small scaling regions that are difficult to identify. However, the RP method is advantageous for the estimation of $`K_2`$ as the representation is more direct. The most important advantage is presented in the next section: RPs allow to detect a new scaling region in the Rössler attractor that cannot be observed with the G-P algorithm.

## 5 The Rössler System

We analyze the Rössler system with standard parameters $`a=b=0.2,c=5.7`$ . We generate 15,000 data points based on the Runge Kutta method of fourth order and neglect the first 5,000. The integration step is $`h=0.01`$ and the sampling rate is $`20`$.
First, we estimate $`K_2`$ by means of the G-P algorithm. Fig. 1 shows the results for the correlation integral in dependence on $`\epsilon `$.

There is one well-expressed scaling region for each embedding dimension $`l`$. Then we get from the vertical distances between the lines an estimate of $`K_2`$ (Fig.2), $`\stackrel{~}{K}_2=0.070\pm 0.003`$.

Next, we calculate the cumulative distribution of the diagonal lines of the RP in dependence on the length of the lines $`l`$ (Fig. 3).

For large $`l`$ and small $`\epsilon `$ the scaling breaks down as there are not enough lines in the RP. The most remarkable fact in this figure is the existence of two well differentiated scaling regions. The first one is found for $`1l84`$ and the second one for $`l85`$. The existence of two scaling regions is a new and striking point obtained from this analysis and is not observed with the G-P method. The estimate of $`K_2^f`$ from the slope of the first part of the lines is $`K_2^f0.225\pm 0.03`$ (Fig. 4) and the one from the second part is $`K_20.0675\pm 0.004`$ (Fig. 5).

Hence, $`K_2^f`$ is between 3-4 times higher than $`K_2`$. As $`K_2`$ is defined for $`l\mathrm{}`$, the second slope yields the estimation of the entropy.
However, the first part of the curve is interesting too, as it is also independent of $`\epsilon `$. The region $`1l84`$ characterizes the short term dynamics of the system up to three cycles around the fix point and corresponds in absolute units to a time of $`t=16.8`$, as we use a sampling rate of $`\delta t=0.2`$. These three cycles reflect a characteristic period of the system that we will call recurrence period $`T_{\text{rec}}`$. It is different from the dominant “phase period” $`T_{\text{ph}}`$, which is given by the dominant frequency of the power density spectrum. $`T_{\text{rec}}`$ however, is given by recurrences to the same state in phase space. Recurrences are represented in the plot by vertical (or horizontal, as the plot is symmetric) white lines. Such a white line occurs at the coordinates $`i,j`$ if

$$𝐑_{i,j+m}=\{\begin{array}{cc}1\text{if}m=1\hfill & \\ 0\text{for}m\{0,\mathrm{},l1\}\hfill & \\ 1\text{if}m=l.\hfill & \end{array}$$
(23)
The trajectory $`\stackrel{}{x}_n`$ for times $`n=j1,\mathrm{},j+l`$ is compared to the point $`\stackrel{}{x}_i`$. Then the structure given by Eq. 23 can be interpreted as follows. At time $`n=j1`$ the trajectory falls within an $`\epsilon `$-box of $`\stackrel{}{x}_i`$. Then for $`n=j,\mathrm{},j+l1`$ it moves outside of the box, until at $`n=j+l`$ it recurs to the $`\epsilon `$-box of $`\stackrel{}{x}_i`$. Hence, the length of the white line is proportional to the time that the trajectory needs to recur close to $`\stackrel{}{x}_i`$.
In Fig. 6 we represent the distribution of white vertical lines in the RP.

The period of about 28 points corresponds to $`T_{\text{ph}}`$. However, the highest peak is found at a lag of about 87 points (the second scaling region begins at $`l=85`$). This means that after this time most of the points recur close to their initial state. This time also defines the recurrence period $`T_{\text{rec}}`$. For the Rössler attractor with standard parameters we find $`T_{\text{rec}}=3T_{\text{ph}}`$.
For predictions on time scales below the recurrence period, $`\tau ^f=1/K_2^f`$ is a better estimate of the prediction horizon than $`\tau =1/K_2`$. This interesting result means that the possibility to predict the next value within an $`\epsilon `$-range is in the first part by a factor of more than $`3`$ times worse than it is in the second part, i.e. there exist two time scales that characterize the attractor. The first slope is greater than the second one because it is more difficult to predict the next step if we have only information about a piece the trajectory for less than the recurrence period. Once we have scanned the trajectory for more than $`T_{\text{rec}}`$, the predictability increases and the slope of $`P_\epsilon ^c(l)`$ in the logarithmic plot decreases. Hence the first slope, as well as the time scale at which the second slope begins, reveal important characteristics of the attractor.
To investigate how the length of the first scaling region depends on the form of the attractor, we have varied the parameter $`c`$ of the Rössler system with fixed $`a=b=0.1`$, so that different types of attractors appear . Especially we have studied the cases $`c=9`$, which yields $`T_{\text{rec}}=2T_{\text{ph}}`$, and $`c=30`$, which gives $`T_{\text{rec}}=4T_{\text{ph}}`$. In both cases the length of the first scaling region corresponds as expected to $`T_{\text{rec}}`$.
On the other hand, the existence of the two scalings may be linked to the nonhyperbolic nature of the Rössler system for this attractor type, because the resulting two time scales have been also recently found by Anishchenko et al. based on a rather subtle method . This effect also is detectable in other oscillating nonhyperbolic systems like the Lorenz system and will be studied in more detail in a forthcoming paper.

## 6 Dynamical invariants for the RQA

With regard to our theoretical findings in Sec. 4 we have to assess the quality of the possible results of the RQA.
The measures considered in the RQA  are not invariants of the dynamical system, i.e. they usually change under coordinate transformations, and especially, they are in general modified by embedding . Hence, we propose new measures to quantify the structures in the RP, that are invariants of the dynamical system.
The first measure we propose, is the slope of the cumulative distribution of the diagonals for large $`l`$. We have seen that it is (after dividing by $`\tau `$) an estimator of the Rényi entropy of second order $`K_2`$, which is a known invariant of the dynamics . On the other hand, we also can consider the slope of the distribution for small $`l`$’s, as this slope shows a clear scaling region, too. The inverse of these two quantities, is then related to the forecasting time at different horizons. Especially the transition point from the first to the second scaling region is an interesting characteristic of the system.
The second measure we introduce, is the vertical distance between $`P_\epsilon ^c(l)`$ for different $`\epsilon `$‘s. From Eq. (22) one can derive

$$\widehat{D}_2(\epsilon )=\mathrm{ln}\left(\frac{P_\epsilon ^c(l)}{P_{\epsilon +\mathrm{\Delta }\epsilon }^c(l)}\right)\left(\mathrm{ln}\left(\frac{\epsilon }{\epsilon +\mathrm{\Delta }\epsilon }\right)\right)^1.$$
(24)
This is an estimator of the correlation dimension $`D_2`$ . The result for the Rössler system is represented in Fig. 7.

The mean value of $`\widehat{D}_2(\epsilon )`$ is in this case $`1.86\pm 0.04`$. This result is in accordance with the estimation of $`D_2`$ by the G-P algorithm given in , where the value $`1.81`$ is obtained. With a modified G-P algorithm a value of $`1.89`$ was reported .
The third measure we suggest, is an estimator of the generalized mutual information of order $`2`$,

$$I_2(\tau )=2H_2H_2(\tau )$$
(25)
where

$$H_2=\mathrm{ln}\underset{i}{}p_i^2,H_2(\tau )=\mathrm{ln}\underset{i}{}p_{i,j}^2(\tau )$$
(26)
are the generalized Rényi’s second order entropy (also correlation entropy) and its corresponding joint second order entropy . This measure can be estimated using the G-P algorithm as follows

$$\stackrel{~}{I}_2(\epsilon ,\tau )=\mathrm{ln}(C_2(\epsilon ,\tau ))2\mathrm{ln}(C_1(\epsilon )).$$
(27)
Instead, we can estimate $`I_2(\tau )`$ using the recurrence matrix. As discussed in the preceding sections, one can estimate $`H_2`$ as

$$\widehat{H}_2=\mathrm{ln}\left[\frac{1}{N^2}\underset{i,j=1}{\overset{N}{}}𝐑_{i,j}\right].$$
(28)
Analogously we can estimate the joint second order entropy by means of the recurrence matrix

$$\widehat{H}_2(\tau )=\mathrm{ln}\left[\frac{1}{N^2}\underset{i,j=1}{\overset{N}{}}𝐑_{i,j}𝐑_{i+\tau ,j+\tau }\right].$$
(29)
We compare the estimation of $`I_2(\tau )`$ based on the G-P algorithm with the one obtained by the RP method in Fig. 8.

We see, that the RP method yields systematically higher estimates of the mutual information, as in the case of the estimation of the correlation entropy. However, the structure of the curves is qualitatively the same (it is just shifted to higher values by about $`0.2`$). A more exhaustive inspection shows, that the difference is due to the use of the Euclidean norm. The estimate based on the RP method is almost independent of the norm, whereas the estimate based on the G-P algorithm clearly depends on the special choice. If the maximum norm is used (in G-P and RP) both curves coincide.
Note that the estimators for the invariants we propose are different from the ones of the G-P algorithm. Therefore, the obtained values are slightly different, too.
The three measures that we have proposed, are not only applicable for chaotic systems but also for stochastic ones as the invariants are equally defined for both kinds of systems.

## 7 Conclusions

In this paper we have presented an analytical expression for the the distribution of diagonals $`P_\epsilon (l)`$ for stochastic systems and chaotic flows, extending the results presented in . We have shown that $`P_\epsilon (l)`$ is linked to the 2-order Rényi entropy rather than to the Lyapunov exponent. Further we have found in the logarithmic plot of $`P_\epsilon (l)`$ two different scaling regions with respect to $`\epsilon `$, that characterize the dynamical system and are also related to the geometry of the attractor. This is a new point that cannot be seen by the G-P algorithm and will be studied in more detail in a forthcoming paper. The first scaling region defines a new time horizon for the description of the system for short time scales. Beyond the RP method does not make use of high embedding dimensions, and the computational effort compared with the G-P algorithm is decreased. Therefore the RP method is rather advantageous than the G-P one for the analysis of rather small and/or noisy data sets. Besides this, we have proposed different measures for the RQA, like estimators of the second order Rényi entropy $`K_2`$, the correlation dimension $`D_2`$ and the mutual information, that are, in contrast to the usual ones, invariants of the dynamics .

### Acknowledgments

We thank Dieter Armbruster, Annette Witt, Udo Schwarz and Norbert Marwan for the fruitful discussions. The project was supported by the ”DFG-Schwerpunktprogramm 1114”.