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# Interpretation of heart rate variability via detrended fluctuation analysis and 𝛼𝛽 filter

## I Lead Paragraph

Detrended fluctuation analysis (DFA) Peng et al. (1995), suitable for the analysis of nonstationary time series, has confirmed the existence of persistent long-range correlations in healthy heart rate variability (HRV) data Task-Force (1996). Notwithstanding the early success in the application of DFA, a limitation exists concerning the final stage of the technique as applied to HRV. This is related to the calculation of the power-law scaling exponent for the short-term or long-term range, a range division that has been assumed by the presence of the “crossover phenomenon”, or critical segment length where there is a sudden change in the power law, found in several patients Peng et al. (1995); Iyengar et al. (1996). We believe that one should not reduce DFA to quantify only two (a short- and a long-range) scaling exponents, but instead determine if there is more information in the power-law behaviour. A previous attempt using coarse local slopes for the scaling exponent has already suggested a kind of scaling stability impairment with heart disease Viswanathan et al. (1997); however, a detailed analysis of the patterns of the slope is not provided. Here, we present the incorporation of the $`\alpha \beta `$ filter to the DFA for the estimation of the power law as a function of the time scales. The $`\alpha \beta `$ filter Kingsley and Quegan (1992) is a recursive least-squares method that has been used for tracking targets or to characterise the operation of an induction motor drive, for example Woolfson et al. (1997); Munu et al. (1995). We have employed this filter as a more appropriate approach to obtain a detailed analysis of the scaling behaviour by improving the precision in the interpretation of the DFA results. Well-known simulated scenarios and real HRV data involving normal and pathological circumstances were used to evaluate this enhancement. Our results suggest the existence of evolving scaling patterns not always presenting a uniform power-law behaviour that can be readily detected by a linear slope estimation procedure over two predefined ranges. We also show that the incorporation of the study of these patterns may confer advantages to the DFA by revealing more clearly abnormal physiological conditions detected in congestive heart failure (CHF) patients related to the existence of dominant characteristic scales.

## II Introduction

In recent years, power spectral techniques have been widely applied to short-term fluctuations of the elapsed time between consecutive heart beats or RR intervals. Although disagreement exists about the physiological information provided by the frequency bands Malpas (2002); Karemaker (1999); Eckberg (1997), it is accepted in some circles that these tools have revealed unique spectral signatures corresponding to the autonomic control dynamics Task-Force (1996); Malpas (2002). Recently, this spectral quantification of the magnitude of this HRV has been complemented with long-memory statistical measurements Beran (1994) revealing, for healthy dynamics, persistent long-range correlations over a wide range of time scales Walleczek (2000). This has promoted the adoption of a physiological conjecture suggesting that HRV, lacking characteristic scales and having long-range correlation, indicates a healthy organising principle that seems to break down in several pathological states. For example, a disruption of long-range variability correlations, perhaps reflecting a shift to a dominant single characteristic time scale, has been detected in the heartbeat dynamics of CHF patients Walleczek (2000); Peng et al. (1995).

For the analysis of long-term HRV that lacks characteristic scales it is appropriate to apply a fractal approach to identify the existence of persistent correlations over a wide range of time scales. Moreover, the introduction of DFA Peng et al. (1995, 1994); Ivanov et al. (2001) has conferred advantages over other conventional fractal methods because it permits the detection of long-range correlations embedded in nonstationary time series and avoids spurious detection of apparent long-range correlations that are artifacts of nonstationarity behaviour Peng et al. (1995); Eke et al. (2000); Taqqu et al. (1995); Ivanov et al. (1999). Any invariant scaling characteristics in the heart rate fluctuations obtained by these means can therefore be mostly attributed to the intrinsic mechanism of neuroautonomic control Ivanov et al. (1999) with the advantage of not having to rigorously control physical activity or provide an external stimulus, hence promoting the possibility of ambulatory monitoring for long-term evaluation. The DFA has also been applied to detect long-range correlations in other time series like heterogeneous DNA sequences and Peng et al. (1994); Buldyrev et al. (1998) the stride interval fluctuations obtained from unconstrained human gait dynamics Walleczek (2000).

## III DFA and $`\alpha \beta `$ filter

The DFA method has been described elsewhere Peng et al. (1995). Briefly, the original RR interval or HRV series is initially integrated as follows:

$$Y(k)=\underset{i=1}{\overset{k}{}}[RR(i)RR_{ave}]$$
(1)
where $`RR(i)`$ is the ith RR interval and $`RR_{ave}`$ is the average RR interval of the series. This integration is used to overcome both the restricted observation time and physical nature of the process. Next, the integrated series is divided into windows, or boxes, of equal numbers of $`n`$ RR intervals. In each window, the local trend is obtained by least-squared line fit111Higher order polynomials may also be used in this fitting procedure. However, it has been reported that the inherent deviations at small scales appear to become stronger in higher order of DFA Kantelhardt et al. (2001); Hu et al. (2001). Additionally, crossovers produced by sinusoidal trends, like the ones analysed in this contribution, are shifted to larger values for higher orders of detrending Kantelhardt et al. (2001); Hu et al. (2001). Finally, HRV data have been normally analysed using linear detrending DFA which is the order that we employed in this study.. This trend is locally subtracted from the integrated series to reduce the nonstationary artifacts. The average root-mean-square fluctuation, $`F_m(n)`$, is then calculated. The previous procedure is repeated for all window sizes (time scales). Consequently, the relationship on a double-log graph between these fluctuations $`F_m(n)`$ and time scales $`n`$ can be approximately evaluated by a linear model: $`F_m(n)n^\zeta `$ . A resulting slope, or scaling exponent $`\zeta `$, of 0.5 indicates white noise and the absence of long-range correlations, an exponent of 1 reflects the behaviour of a $`1/f`$ process having persistent long-range correlations whilst the slope of 1.5 indicates a random walk (Brownian noise) with a very smooth behaviour where correlations still exist but not in a power-law form222In spite of recognising that $`\alpha `$ has been the notation extensively used elsewhere to describe the fractal scaling exponent, we have used instead the notation $`\zeta `$ to avoid creating confusion with the $`\alpha \beta `$ filter concept described in this paper..

The scaling exponent of the average root-mean-squared fluctuations as a function of time scales is usually estimated by the slope of the double-log plot covering short- or long-term ranges. Rather than finding the scaling exponent only for these two generally predefined ranges, in this paper we have adopted the $`\alpha \beta `$ filter Woolfson et al. (1997); Munu et al. (1995); Kingsley and Quegan (1992); Woolfson (1985) to recursively estimate a local least-squares fitting for tracking the evolution of the gradient (i.e., of the power law) as a function of log time scales (or window sizes). This gradient is also referred to in this paper as scaling pattern.

Essentially, the $`\alpha \beta `$ filter Kingsley and Quegan (1992) is a simplified version of a Kalman filter that provides a good compromise between performance and computational load Woolfson (1985). By adopting a recursive approach to the estimate of DFA scaling patterns we have assumed a constant local slope in these patterns. Obviously, it is necessary to consider that this slope may involve variations from linearity. These variations are modelled in the Kalman filter as plant noise Woolfson (1985). By contrast, in the $`\alpha \beta `$ filter, plant noise is implicitly assumed to be zero Kingsley and Quegan (1992); Woolfson (1985). However, the effects of plant noise may also be simulated by preventing the $`\alpha \beta `$ filter gains from going to zero (see equations 78)Woolfson (1985). Thus, it is not necessary to know the exact model of the local slopes and consequently the $`\alpha \beta `$ filter can be used with the advantage of reducing the number of required operations. A brief description of how the $`\alpha \beta `$ filter was incorporated to DFA (equations 28) is presented next.

Let $`G_m(n)`$ be the log of the average root-mean-squared fluctuations, $`F_m(n)`$, produced by DFA at the window size $`n`$, with $`n`$ being the number of RR intervals (or the equivalent physiological time scale). Define $`m_e(n)`$ as the required estimate of the gradient at the log window size $`n`$. Since a logarithmic representation of the window size $`n`$ is employed, an initial interpolation of $`G_m(n)`$ is convenient to have it parameterised by a uniformly sampled variable in the logarithmic representation of the window size domain; using $`k`$ as an index to denote the discrete elements or samples of this new variable. Then, it is possible to predict the value of the root-mean-squared fluctuations at $`k`$ according to

$$G_p(k)=G_e(k1)+m_e(k1)\delta $$
(2)
where $`G_p(k)`$ is the predicted log root-mean-squared fluctuations, $`G_e(k1)`$ is the estimate of log root-mean-squared fluctuations at $`k1`$, and $`\delta `$ is the uniform separation between successive elements of the parameterised variable. The original piece of information, i.e., the log root-mean-squared fluctuations $`G_m(k)`$, produced by the DFA method at $`k`$, is combined with the previous prediction $`G_p(k)`$ according to

$$G_e(k)=[1\alpha (k)]G_p(k)+\alpha (k)G_m(k)$$
(3)
in order to obtain the estimate of the log root-mean-squared fluctuations at $`k`$. Here, $`\alpha (k)`$ is a smoothing coefficient at $`k`$. Finally, the desired estimate of the gradient at $`k`$, $`m_e(k)`$, can be obtained from

$$m_e(k)=m_e(k1)+\frac{\beta (k)}{\delta }[G_m(k)G_p(k)]$$
(4)
where $`\beta (k)`$ is another smoothing coefficient. The smoothing coefficients $`\alpha (k)`$ and $`\beta (k)`$ are given by

$$\alpha (k)=\frac{2(2k1)}{k(k+1)}$$
(5)
and

$$\beta (k)=\frac{6}{k(k+1)}$$
(6)
To take into account any possible deviation from linearity in the log domain (perhaps owing to oscillatory trends Kantelhardt et al. (2001) or to finite-length effects Peng et al. (1993)) in the root-mean-squared fluctuations produced by the DFA method, the coefficients $`\alpha (k)`$ and $`\beta (k)`$ are prevented from going to zero for $`k>Q`$ as follows:

$`\alpha (k)=\alpha (Q)`$ (7)
$`\beta (k)=\beta (Q)`$ (8)
where for our analysis we empirically found a value $`Q`$=500 as a balance between “over smoothing” at high $`Q`$ where changes in the gradient are not adequately tracked, and “under smoothing” where the effects of noise become significant.

## IV Data to be analysed

The incorporation of this $`\alpha \beta `$ filter to the DFA was initially explored with simulated data having 100800 samples (approximately corresponding to the amount of RR intervals recorded during 24 hours at 70 beats per minute). These simulations involved Gaussian white noise series; Brownian motion series (obtained by the integration of the white noise series Heinz-Otto and Saupe (1988)); $`1/f^\gamma `$ process ($`\gamma =1`$) generated by the spectral synthesis approximation suggested by Suape Heinz-Otto and Saupe (1988); and finally $`1/f`$ series including superimposed oscillatory trends introduced by the addition to the previous $`1/f`$ series of a pure sine component with 0.01 Hz frequency and an amplitude of 0.1.

In addition, the above mentioned methods were applied to 18 normal sinus HRV long-term records (20-24 hours) from subjects without diagnosed cardiac abnormalities as well as 15 long-term records (20 hours) from subjects with severe CHF. The unaudited RR annotation marks of these records were gathered from PhysioNet Goldberger et al. (2000). The CHF records have also been used elsewhere Peng et al. (1995) to explore the DFA capabilities. This database includes long-term ECG recordings from 15 subjects (11 men, aged 22 to 71, and 4 women, aged 54 to 63). The normal sinus heart rate database was obtained from subjects found to have no significant arrhythmias; they included 5 men, aged 26 to 45, and 13 women aged 20 to 50 Goldberger et al. (2000). The annotation marks were analysed to remove unqualified sinus beats, these outliers being detected according to the method suggested in Ref. Ho et al. (1997), which relies upon confirming each RR interval to be within a tolerance range covering the 20% extremes from a running mean value obtained through the 4 adjacent intervals. Only recordings with more than 85% qualified beats were included in the analysis as suggested in Ref. Huikuri et al. (2000). Thus, records CHF02 and CHF06 were excluded from the analysis of the CHF database.

Finally, since it has been reported that day-night differences exist in the scaling behaviour of HRV data Ivanov et al. (1999), the enhanced DFA analysis (i.e., DFA plus $`\alpha \beta `$ filter) was also applied separately to wake and sleep 6 hours segments of normal and CHF data.

## V Results and Discussion

Figures 1, 2, and 3 present the result of the DFA and $`\alpha \beta `$ filter applied to the following simulated series: Gaussian white noise, Brownian motion, and $`1/f`$ noise. The top of each figure shows the double-log plot of the average root-mean fluctuations $`F_m(n)`$ as a function of the window size $`n`$ obtained using DFA whilst the bottom figure corresponds to the gradient $`m_e(n)`$ of these fluctuations, again as a function of the log window size, estimated by the $`\alpha \beta `$ filter. Note that although the original series length was 100800 samples, corresponding to the log range of 5, these plots cover window sizes up to log value 4 to avoid presenting the larger deviations resulting from the finite-length effects of the data Iyengar et al. (1996); Peng et al. (1993) (which can be also explained as being related to averaging over too few windows giving only rough detrending with the effects of noise becoming more significant). These type of results have been reported elsewhere Hu et al. (2001), but for the purpose of this contribution they are useful to promote familiarisation with the type of scaling patterns obtained via the $`\alpha \beta `$ filter in well-characterised scenarios. As was expected for these simulations the scaling pattern reveals the theoretical value of 0.5 for white noise, 1.5 for Brownian noise, and 1 for the $`1/f`$ series. The gradient patterns in these figures confirm that the expected scaling behaviours were only approached asymptotically, as has been explained in Ref. Kantelhardt et al. (2001) because of the intrinsic deviations of the DFA method for small window sizes 333It is important to mention that these deviations are not only intrinsic to DFA. For example, deviations from an expected scaling behaviour at small scales have also been described in the context of Hurst analysis Mandelbrot and Wallis (1969). Additionally, as reported by Hu et. al. Hu et al. (2001), it is possible to appreciate that these deviations present larger scaling values than the expected behaviour for white noise whereas for the Brownian noise and $`1/f`$ series these deviations resulted in smaller values.

Figure 4 presents the results of the DFA and $`\alpha \beta `$ filter applied to $`1/f`$ noise with a superimposed oscillatory trend. The estimated scaling pattern presented at the bottom of the figure clearly reveals a strong deviation in the linearity of the double-log plot (see Figure 3 for a comparison of the scaling behaviour obtained when analysing an uncorrupted $`1/f`$ process). The addition of this oscillatory trend has produced the type of “crossover phenomenon” suggested in Ref. Peng et al. (1995). A reliable detection of this phenomenon is possible with the gradient, estimated by the $`\alpha \beta `$ filter, indicating a clear deviation from a uniform power law mostly because of a well-defined projection above unity within the log window size range of 1.5 to 2.2. This range includes the log window size 2 as the location presenting the major deviating effect. Hence, this is related to the superimposed trend having an oscillatory frequency of 0.01 Hz and a regular sampling frequency of 1 Hz (see also Kantelhardt et. al. Kantelhardt et al. (2001) and Hu et. al. Hu et al. (2001) for simulations and detailed analytical calculations of how a sinusoidal trend affects the scaling behaviour of correlated noise).

As suggested by the result of Figure 4, a complementary exploration of the addition of a second sine component of lower frequency (0.001 Hz) and same amplitude should reveal an additional projection in the log 3 long-term range. The corresponding results for this scenario are presented in Figure 5 where it is possible to confirm this prediction.

The top of Figure 6 presents a typical scaling pattern for a normal patient (18184). It is possible to describe two major features in the evolution of this pattern. For the long-term range, the power scaling pattern asymptotically attains a plateau having a value near unity; by analogy with the pattern obtained for the $`1/f`$ simulation (Figure 3) it is clear that this result (top of Figure 6) suggests persistent correlations and the lack of characteristic scales in the long range in accordance with the hypothesis of healthy heart rate presenting a type of $`1/f`$ fluctuations Walleczek (2000); Peng et al. (1995). In contrast, for the short time scales it is possible to appreciate deviations above unity, from a uniform power-law pattern, again in accordance with the results of Peng et. al., who have explained that this deviation is probably the result of the relatively smooth heartbeat oscillations, associated with respiration, that dominate the short-term range Peng et al. (1995).

For the case presented at the top of Figure 6 it is clear, as reported in Ref. Peng et al. (1995), that in principle it would be possible to arrive at the same kind of conclusions by assuming the existence of a crossover phenomenon. The use of the conventional linear quantification in predefined ranges at the top of Figure 6 would assign the exponents for short-term ($`n`$ from 4 to 16) and long-term ($`n`$ from 100 to 10000) ranges of 1.09 and 1.10, respectively. However, the evolving scaling pattern produced by the $`\alpha \beta `$ filter, showing a considerable variation in the short-term range, indicates that an exponent of 1.09 is a gross approximation for this behaviour. Hence, further information may be revealed with this scaling pattern analysis that is not possible to detect by the conventional interpretation of the DFA results. Other advantages obtained by the incorporation of $`\alpha \beta `$ filter will be illustrated with the following results.

The bottom of Figure 6 presents the scaling pattern for another normal patient (19090). Concerning the short-term range it is possible to confirm a similar and perhaps normal deviation above unity that was also found in the top of Figure 6. In contrast, an unexpected feature is detected in the long-term range where it is possible to appreciate a deviation from a uniform power law. By analogy with the pattern of the simulation of $`1/f`$ fluctuations with the superimposed oscillatory trends (Figure 4), it is possible to suggest therefore for this patient the appearance of a very low frequency characteristic scale (reflected in the existence of a small but well defined projection in the long-term range of log 3 to 3.5). A larger than unity scaling exponent in the conventional DFA would approximately detect this deviation only if an appropriately reduced range (e.g., log $`n`$ from 3 to 3.5) for the linear slope estimation were selected. However, it would be impossible to select this corresponding range without further analysis and it is also clear that again a linear model, which revealed a short-term exponent of 1.12 ($`n`$ from 4 to 16) and a long-term exponent of 1.02 ($`n`$ from 100 to 10000), is not the best approximation for quantifying this type of scaling pattern. Hence, the analysis of the scaling pattern provided by the application of the $`\alpha \beta `$ filter confers the advantage, with no need of initial assumptions, of revealing for this case a clear behaviour that can be associated with a slow and weak oscillatory trend, or characteristic scale, in the HRV.

Concerning the rest of the normal group, Figure 7 includes scaling patterns of another 6 patients apparently showing, like the top of Figure 6, both deviations above unity in short-term range and uniform power law in the long-term range. However, Figure 8 presents the scaling patterns of the remaining 10 normal patients where it is also possible to appreciate, as at the bottom of Figure 6, that a uniform power law in the long-term range is not always manifested. Moreover, there are 3 cases in this figure (16420, 16795 and 17052) not necessarily showing the type of deviations above unity in short-term range similar to the ones depicted at the top of Figure 6 or in Figure 7.

Figure 9 presents a typical scaling pattern for a CHF patient (CHF03). The pattern obtained by the $`\alpha \beta `$ filter clearly reveals major deviations, or projections, from a uniform power law in the intermediate and long-term range. In addition, a scaling pattern below unity, close to 0.5 (i.e., white noise), can be appreciated in the short-term range. The conventional DFA method has already revealed a very different behaviour in the scaling exponent of CHF patients Peng et al. (1995); there, it was reported that for short time scales, the scaling exponents were below unity whilst for long-term range it was reported that the scaling exponents were above unity. The resulting scaling pattern of Figure 9 provided by the application of the $`\alpha \beta `$ filter enhances the understanding of this abnormal behaviour. By analogy with the simulated results presented in Figures 4 and 5, it is clear that the elevated value for the scaling exponent in the long-term range that was reported in Ref. Peng et al. (1995) is here shown in Figure 9 to be related with the existence of predominant characteristic scales. Although the existence of a characteristic scale for the explanation of the abnormal scaling exponent was initially postulated in Ref. Peng et al. (1995), the scaling patterns obtained by the $`\alpha \beta `$ filter confirm and complement this explanation. The major deviations of Figure 9 seem to reveal not only one but two characteristic scales with potential physiological information that clearly cannot be properly detected by linear slope estimations over predefined ranges. This is illustrated in the top plot of Figure 9 presenting the linear best fit for the range $`n`$ of 100 to 10000 that clearly misses the underlying pattern; resulting slope=1.23 . It seems necessary therefore to postulate that there could be more than one crossover phenomenon for the behaviour of this scaling pattern.

It is important to report that for 8 additional CHF patients (Figure 10), the scaling patterns also presented deviations from a uniform power law that, as in Figure 9, suggest the existence of two characteristic scales in the intermediate and long-term ranges. These findings confirm the inadequacy of the conventional linear best fit to completely represent the underlying patterns revealed by DFA. In addition, like in Figure 9, it was also possible to observe in these 8 cases significant deviations below unity (toward 0.5) in the short-term range. This type of behaviour, similar to white noise, could be related to a marked attenuation of rhythmic oscillations Lombardi (2000) probably indicating that in CHF the integrity of the autonomic mechanisms that regulate the RR intervals over short-time scales is affected. Additionally, this attenuation may also be related to poor end-organ responses Persson (1996).

Interestingly, the remaining CHF patients (Figure 11) also appear to present characteristic scales in the intermediate and long-term ranges but not significant deviations below unity in the short-term range. Hence, it could be speculated that the manifestation of CHF in these 4 patients was not as severe as in the cases presented in Figure 10. Consequently, this observation suggests that by performing a more detailed analysis of the scaling behaviour, as opposed to a conventional linear characterisation, it would be possible to recover information about the degree of severity of the CHF condition.

Having presented the results of CHF patients, it is then possible to describe additional features that were identified in the result of normal patients. In particular, scaling patterns 16420, 18177, 16795, and 17052 (Figure 8) appear to weakly show the type of characteristic deviations presented by the CHF group (figures 10 and 11). Hence, it is speculated that the exploration of scaling patterns could also indicate the beginning of abnormalities, these perhaps expressed as subclinical manifestations of the cardio-respiratory control.

To summarise, Figure 12 presents the mean scaling pattern obtained from the 18 cases in the normal group (Figures 6, 7 and 8) as well as the same mean for the 13 cases in the CHF group (Figures 9, 10 and 11). Also depicted in this figure are error bars (mean $`\pm `$ 1 standard deviation) at different log $`n`$ scales. Here, it is possible to appreciate that these scaling patterns have recovered the main features that we described for the normal and CHF groups (i.e., deviations above unity in the short-term range and uniform power law in the long-term range for normal patients, whereas CHF patients present deviations below unity in short-term range and two characteristic scales in the intermediate and long-term range). Interestingly, in spite of identifying in Figure 12 some scales showing an overlap in the error bars for both groups, it is also possible to detect particular scales without overlap in the short-term, intermediate, and long-term ranges so proving distinctive behaviour between groups. Additionally, the apparently larger error bars in the CHF scaling pattern may indicate the type of scaling instability in these patients that was first identified by Viswanathan et. al.Viswanathan et al. (1997).

Finally, to show other examples of the advantages of analysing the scaling pattern without assuming predefined ranges or uniform power-law behaviour, figures 13 and 14 present the results of the DFA and the $`\alpha \beta `$ filter applied separately to wake and sleep 6 hours segments of normal (16265) and CHF (CHF07) data. As reported in Ivanov et al. (1999), using conventional quantification of the scaling behaviour (see top plots), it is possible to appreciate, both for the normal and CHF cases, sleep-wake differences in the long-term scaling exponents, finding smaller exponents during the sleep period. The scaling patterns at the bottom of the plots appear to provide additional information about these differences.

For the normal case 16265 (Figure 13) it is clear that there is a wake to sleep reduction in the scaling behaviour in the short-term range whereas for the intermediate range there is a marked scaling increase forming a type of plateau. Additionally, and this explains the reduction of the scaling exponent, there is a significant change of the long-term uniform power law toward a behaviour below unity. Clearly, the scaling pattern of this case obtained from the entire data set ($``$ 24 hours) and shown in Figure 7, appears to include features of both wake and sleep segments. Hence, this pattern is not necessarily dominated by the scaling pattern of the wake segment, an observation that was suggested in Ref. Ivanov et al. (1999), as a result of using a single exponent to characterise the data in the long-term range. On the contrary, this scaling pattern seems to be in accordance with results reported in Chen et al. (2002) showing that for signals comprised of segments with different local properties, the scaling behaviour is a superposition of the behaviour of different components. However, in that contribution Chen et al. (2002) it is also considered that the scaling behaviour is dominated by segments exhibiting higher positive correlation.

For the case CHF7 (Figure 14) it is possible to appreciate an intermediate characteristic scale in the scaling patterns of both sleep and wake segments. However, that projection appears to be more prominent during the sleep segment. Thus, this seems to be new information provided by the scaling patterns that cannot be inferred via the reduction of the scaling exponent (shown at the top of the plot). Clearly, the linear best fit misses the underlying pattern that reveals the existence of this characteristic scale around the log 2 range. Interestingly, according to this range and the mean RR interval, this characteristic scale having $``$ 0.01 Hz could be the result of the abnormal heart rate oscillations associated with Cheyne-Stokes respiration that is commonly found in CHF patients Peng et al. (1995); Moody et al. (1986); Goldberger et al. (1988).

Concerning the long-term range of Figure 14 it is possible to appreciate that the characteristic scale around the log 3 range which is present during wake period is no longer identified in the sleep segment. However, the scaling pattern of this segment shows a new deviation in the long-term range toward Brownian noise behaviour during the sleep segment. Once again, the scaling pattern of this case obtained from the entire record ($``$ 20 hours) shown in Figure 10 includes features of both wake and sleep segments.

The smaller values of the scaling exponent during the sleep segments shown in figures 13 and 14 have been suggested in Ref. Ivanov et al. (1999) to be the result of a stronger neuroautonomic control during sleep periods. It remains to be seen in which sense this hypothesis is supported by the additional information described earlier from the scaling patterns.

In this contribution several characteristic features have been detected in scaling patterns of HRV data of either normal or CHF patients. Hence, it is obviously difficult to suggest a single measurement to characterise these patterns. This circumstance may appear as a practical disadvantage of studying in detail the scaling behaviour using procedures like the $`\alpha \beta `$ filter. However, our results suggest that DFA involves potential information that appears to be ignored by not using a more suitable model to characterise the scaling behaviour. Consequently, this contribution may promote further studies involving larger groups aimed to obtain representative scaling patterns to typify different cohorts. Thus, new cases could be confronted with these representative patterns to determine the degree of similarity between them. Interestingly, this comparison could then be performed via single values obtained, for example, from measurements like the rms difference between candidates and representative patterns or from measurements obtained by a more sophisticated pattern recognition approach. These values would be useful to perform statistical comparisons or to assess severity of alterations in scaling patterns.

## VI Conclusion

It has been suggested that the breakdown of persistent correlations over a wide range of time scales in HRV could be related to pathological conditions Walleczek (2000). The pattern analysis of the power-law behaviour that we present here via the incorporation of the $`\alpha \beta `$ filter supports and reveals strong deviations from a uniform power law in CHF conditions owing to a type of white noise behaviour and the existence of dominant characteristic scales. However, it is also suggested that caution should be taken about the existence of characteristic scales as precise indicators of nonhealthy dynamics. This is because some of the normal control patients also weakly presented characteristic scales in the long-term range, suggesting that either these types of deviations from a uniform power law are not necessary abnormal conditions or that these patients had subclinical manifestations that were not detected by the tests used to reveal cardiac abnormalities.

Our results suggest the existence of variations in the DFA scaling pattern of the heart rate fluctuations with potential information that cannot be detected by linear-slope estimation procedures over predefined ranges. This exponent appears to be, consequently, a very rough approximation even for data from normal patients that are currently assumed to have in general a uniform power law in the long-term range. The incorporation of the $`\alpha \beta `$ filter appears as a convenient analytical improvement for the reliable estimation of these scaling patterns by avoiding initial assumptions or previous considerations about the nature of the data, or by avoiding a procedure like the one suggested by Hu et. al. Hu et al. (2001) to find an optimal fitting range. It is argued in this work that this incorporation of the $`\alpha \beta `$ filter is a valuable tool for an appropriate analysis of complex data series like HRV, where the mechanisms underlying the power-law behaviour of these fluctuations still remain to be clearly elucidated. Hence, this technique will be of value in investigating whether, as some studies have suggested, endocrinal, hemodynamic, autonomic, and conscious states are factors involved Iyengar et al. (1996); Nakamura et al. (1993); Togo and Yamamoto (2000); Tamura et al. (1998), as well as the role played by the intrinsic nature of cardiac tissue Kucera et al. (2000).

###### Acknowledgements.

The contribution of the Mexican Council for Science and Technology (CONACyT) for the financial support of J.C. Echeverría is gratefully acknowledged.


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# Formation Scenarios for Intermediate-Mass Black Holes

## 1 Introduction

Black holes are solidly established to exist in the mass ranges $`520M_{}`$ in our Galaxy and others (stellar-mass black holes) and $`10^{610}M_{}`$ in the centers of many galaxies (supermassive black holes). As discussed by Mushotzky and by van der Marel in these proceedings, there is now growing evidence for the existence of black holes in the mass range $`10^{24}M_{}`$ (intermediate-mass black holes, or IMBH), especially in dense stellar clusters. Such objects would be strong sources of gravitational waves in a unique frequency range. The rates of merger events, as well as the information that could be gleaned from IMBH in binaries, depend on the mechanism by which the IMBHs were formed.

When considering how IMBH may be formed, one can adapt Shakespeare, as suggested by Keith Arnaud: “Some are born great, some achieve greatness, and some have greatness thrust upon ’em.” Specifically, it may be that the objects we now see as IMBH were born with approximately their current mass, or it may be that through accretion or mergers, black holes with initially much smaller masses grow to their current size. We now consider each of these options briefly, then go into them in more detail in the following sections.

First, suppose that a black hole of mass $`10^{24}M_{}`$ was born with that mass. We assume that the initial creation of a black hole is always through the collapse of the core of a massive star. Therefore, if a single star leaves behind an intermediate-mass black hole, the star itself obviously had to have at least as much mass as the remnant black hole. As stars with masses $`M\mathrm{¿}\mathrm{}200M_{}`$ are thought not to form in the current universe (for qualitative arguments, see Larson & Starrfield 1971), black hole remnants with this mass are ruled out. Instead, the very early universe, where metallicities were probably small enough that cooling was minimal and pulsational instabilities were weak, might have produced stars with the requisite mass (e.g., Abel et al. 1998; Bromm, Coppi, & Larson 1999; Bromm et al. 2001; Abel, Bryan, & Norman 2000; Fryer, Woosley, & Heger 2001; Schneider et al. 2002; Nakamura & Umemura 2002). These so-called Population III stars are therefore candidate progenitors for intermediate-mass black holes.

If instead IMBH were grown from a smaller seed, we can narrow down the ways in which it acquired mass. In general, acquisition of mass can take place by accretion or by mergers. Consider accretion. A black hole in the interstellar medium will gain mass by Bondi-Hoyle accretion of the medium. However, the rate of accretion is tiny, leading to growth timescales of (see, e.g., Miller & Hamilton 2002a)

$$M/\dot{M}_{\mathrm{B}\mathrm{H}}10^{13}(M/10M_{})^1(\rho /10^{24}\mathrm{g}\mathrm{cm}^3)^1(v/10^6\mathrm{cm}\mathrm{s}^1)^3\mathrm{yr}.$$
(1)
Here we assume that the interstellar medium has density $`\rho `$ and thermal velocity $`v`$ at infinity relative to the black hole. The shortest timescales would exist for cool, dense, molecular clouds, but even then the accreting matter is pre-heated by the accretion luminosity (e.g., Maloney, Hollenbach, & Tielens 1996; compare Blaes, Warren, & Madau 1995 for accretion onto neutron stars), and the timescale is still billions of years, much longer than either the lifetime of a molecular cloud or the time for a black hole to cross the cloud (see Miller & Hamilton 2002a). Therefore, accretion from the interstellar medium is insufficient unless gas is funneled to the hole, as may happen in the centers of galaxies via bar instabilities but not at the off-center locations of IMBH.

The only way to accrete mass quickly enough is via accretion from stars or mergers with stars or compact objects. However, since individual stars or stellar-mass compact objects are themselves much less massive than the eventual IMBH, many such mergers or accretion events are necessary. In the disk of a galaxy, encounters with stars are far too rare to account for the required change in mass. Only in a dense stellar cluster can there be multiple encounters as needed. The cluster could be a young stellar cluster, where interactions with massive main sequence stars dominate, or an old cluster such as a globular cluster, where interactions with compact remnants are most important.

In summary, the three ways currently considered to make IMBH are as remnants of individual Population III stars, as the result of stellar interactions in a young cluster, or as the result of interactions with compact objects in an old cluster. We now consider these possibilities in turn.

## 2 Population III Stars

Stars that form in the current universe have masses limited by two effects. First, even if the Jeans mass of a molecular cloud is large, metal line cooling is efficient enough that as portions of the cloud contract they fragment into regions of mass $`M\mathrm{¡}\mathrm{}100M_{}`$. Second, although one might imagine that additional accretion could push the mass arbitrarily high, radiation forces and pulsational instabilities at $`M\mathrm{¿}\mathrm{}100M_{}`$ are thought to exist that would expel matter faster than it could accrete (e.g., Larson & Starrfield 1971). In addition, even stars that do form with $`M100M_{}`$ are thought to leave behind black holes of much smaller masses, because of mass loss due to stellar winds (Fryer & Kalogera 2001).

All of these issues might be circumvented if the metallicity is sufficiently low, as it would be for stars formed in an environment of primordial composition. Cooling is then limited by rotational transitions of molecular hydrogen. It is therefore possible that many of the first stars formed at hundreds or even thousands of solar masses (e.g., Abel et al. 1998; Bromm, Coppi, & Larson 1999; Bromm et al. 2001; Abel, Bryan, & Norman 2000; Schneider et al. 2002; Nakamura & Umemura 2002). Moreover, given that both pulsational instabilities and wind losses are driven by radiation forces on metal lines, these may be insignificant for metal-free stars (Fryer, Woosley, & Heger 2001).

Even so, not all Population III stars will leave behind black holes of hundreds of solar masses. The fate of the first generation of stars has been explored by Nakamura & Umemura (2001) and others, and although there is still substantial uncertainty it is thought that the remnant depends on mass in a relatively straightforward way. If the initial mass is $`10M_{}\mathrm{¡}\mathrm{}M_{\mathrm{init}}\mathrm{¡}\mathrm{}40M_{}`$, there is likely to be a standard core-collapse supernova that leaves behind a black hole with a mass $`520M_{}`$. If $`40M_{}\mathrm{¡}\mathrm{}M_{\mathrm{init}}\mathrm{¡}\mathrm{}100M_{}`$, it is believed that the energy transferred to the stellar envelope by the core collapse is insufficient to unbind the envelope, hence the mass of the resulting black hole is close to the mass of the original star. If $`100M_{}\mathrm{¡}\mathrm{}M_{\mathrm{init}}\mathrm{¡}\mathrm{}250M_{}`$, however, another process enters. As discussed by many authors (e.g., Barkat, Rakavy, & Sack 1967; Bond, Arnett, & Carr 1984; Glatzel, El Eid, & Fricke 1985; Heger & Woosley 2002), at these masses the overburden of matter in the core is such that, in order to provide enough pressure, oxygen burns at a temperature $`kT\mathrm{¿}\mathrm{}m_ec^2/3`$. At such temperatures there is pair production. The pairs are nonrelativistic and therefore provide little pressure, hence the core has to contract further, raising the temperature and increasing the number of pairs. This process runs away and causes the fusion of $`40M_{}`$ of oxygen within a short time, completely disrupting the star and leaving no remnant. Only when $`M_{\mathrm{init}}\mathrm{¿}\mathrm{}250M_{}`$ is the binding energy of the envelope enough to withstand the pair production instability, so a star of this mass again leaves behind a black hole with a mass close to that of the original star. Therefore, the abundance of IMBH from Population III stars depends entirely on the fraction of the first stars with initial masses more than $`250M_{}`$.

This fraction is still uncertain. Cooling is likely to be dominated by rotational transitions of molecular hydrogen. However, since H2 is homopolar, its lowest-order rotational transition is quadrupolar, and occurs at a comparatively high temperature of $`T=510`$ K. If HD is present in sufficient quantities, then its nonzero dipole moment and larger mass allows transitions at $`T=128`$ K, which could lower the fragmentation mass by a factor of several (Nakamura & Umemura 2002). On the other hand, if there are extra sources of ionization present (e.g., an active galactic nucleus) then H2 may be dissociated, leading to much higher temperatures and therefore, potentially, stars in the thousands of solar masses (e.g., Barkana & Loeb 2001; Mackey, Bromm, & Hernquist 2003). It is therefore not clear at this time how many stars with $`M_{\mathrm{init}}\mathrm{¿}\mathrm{}250M_{}`$ form in a given galaxy, although progress in this field has been rapid and consensus may be achieved in the next few years. It is also not clear where such objects would tend to form. In standard hierarchical assembly models, large dark matter halos are formed by the merger of many smaller halos, so one might expect that black holes from Population III stars (likely formed in high density halos) would congregate in the centers of large galaxies, and possibly merge. In this sense, it may be somewhat surprising that many ultraluminous X-ray sources are found in globular clusters around the elliptical galaxy NGC 1399 (Angelini, Loewenstein, & Mushotzky 2001). However, there are abundant unknowns about the mass and spatial distribution of Population III remnants, so this is a viable model for IMBHs.

## 3 Interactions in Dense Clusters

As discussed in the introduction, significant growth of a black hole requires residence in a dense stellar cluster if the black hole is not at the center of a galaxy. In addition, as shown by Mushotzky and by van der Marel in these proceedings, the best candidates for IMBH are observed to be in clusters currently, regardless of their origin. The dynamics of clusters are therefore essential to the understanding of intermediate-mass black holes, and especially to their potential as sources of gravitational radiation. Here we will first discuss general dynamical effects, then examine separately young and old clusters.

### 3.1 Dynamics of stellar clusters

Stellar clusters of the mass and density of globular clusters or young super star clusters (mass $`10^{56}M_{}`$, number density $`10^{56}`$ pc-3 in the center) are wonderful testbeds for dynamics. This is because, unlike the central bulges of galaxies, stellar clusters have evolution timescales significantly less than their ages. The relevant timescale is the relaxation time (e.g., Binney & Tremaine 1987, pg. 190)

$$t_{\mathrm{rel}}\left(\frac{N}{8\mathrm{ln}N}\right)t_{\mathrm{cross}},$$
(2)
where there are $`N`$ stars in the cluster and the crossing time is $`t_{\mathrm{cross}}`$. For example, the relaxation time in the core of a globular is $`t_{\mathrm{rel}}10^{79}`$ yr, compared to its $`10^{10}`$ yr age.

In a cluster with components of a single mass, the tendency is for the core to contract while the outside of the cluster expands. In this as in many other ways, there are productive analogies with thermodynamics. For example, the contraction and expansion are driven by an increase in the total entropy of the cluster because the extra phase space available to the outer stars more than compensates for the decreased phase space in the core. When the contrast between central density and density at the edge reaches a critical value $`700`$, then single pointlike Newtonian objects undergo a rapid “core collapse” in which the central density formally becomes infinite in finite time (see Binney & Tremaine 1987, §8.2, for a discussion). Clearly, other physics will intervene, and the accepted primary physics is the interactions of primordial binaries, which we discuss below.

In real multimass clusters, thermodynamic equilibrium would require that the temperature of all components be equal, which for a cluster implies that the average kinetic energy $`\frac{1}{2}m_iv_i^2`$ is the same for all components $`i`$. In a gravitational field, smaller speed means that a star will sink, hence more massive objects congregate towards the center. In some situations, the more massive objects can decouple from the lighter stars, in a process called the Spitzer instability (Spitzer 1969). In any case, the centers of dense clusters are expected to be enriched in massive stars and binaries (e.g., Spitzer & Mathieu 1980), because on average binaries have more mass than single stars.

The interactions of binaries have a profound impact on the dynamics of dense clusters. The effective cross section of interaction of a binary is close to the area of the binary orbit, hence binaries are much more interactive than single stars. Over the course of many interactions, sufficiently wide binaries (called “soft”) are widened more and more by interactions with single stars until they eventually are separated into single stars (a process called ionization). Soft binaries have little net effect on the cluster. However, sufficiently tight binaries (called “hard”) tend to be tightened by interactions with single stars. The tendencies for soft binaries to soften and hard binaries to harden are called “Heggie’s laws” (Heggie 1975) and have been explored numerically in many investigations. For many mass ranges (but not all; see Quinlan 1996), an approximate condition is that when in the three-body center of mass frame the total energy (kinetic plus potential) is positive, the binary is soft, but if the total energy is negative, the binary is hard. Some of the tendencies in binary-single interactions are depicted in Figure 1.

Hard binaries are extremely important in clusters. The hardening in an interaction produces recoil, hence binary-single interactions act as a heat source in the centers of clusters, which stabilizes the core against collapse for as long as the binaries can be tapped for energy (see Rasio, Fregeau, & Joshi 2001 for a recent investigation). Even if all stars are initially single, when the density becomes high enough ($`10^{79}`$ pc-3 for central velocity dispersions $`1020`$ km s-1; Goodman & Hut 1993, Lee 1995) three initially mutually unbound stars can interact in such a way as to bind two of them together. In addition, non-pointlike stars (especially giants) can dissipate energy tidally, creating binaries during close passes of other stars. However, it is believed that the most important binaries are primordial, formed at the origin of the cluster (Goodman & Hut 1989). These provide significant heating when the binaries are hardened (because hardening is accompanied by recoil), at densities close to the observed $`10^{56}`$ pc-3. This explains why some 20-40% of globulars are formally poised at the edge of core collapse (see Pryor & Meylan 1993 for data on globulars), despite this phase being very short-lived if all the stars are single. Over the long term, all the primordial binaries in a cluster will tighten enough that they no longer interact significantly and the cluster will collapse to much higher densities $`10^8`$ pc-3, but this is likely to take much longer than the age of the universe (Rasio et al. 2001).

A second important tendency in binary-single interactions is that the final binary is likely to consist of the two most massive of the three original stars (e.g., Sigurdsson & Phinney 1993). Therefore, objects such as an IMBH are probably commonly found in binaries, even if they were originally single. This has important implications for gravitational radiation, as we discuss later. The specific results of hardening depend on whether the most massive stars are on the main sequence (for young clusters) or are compact stellar remnants (for old clusters). We now discuss each of these.

### 3.2 Young stellar clusters

If a stellar cluster is less than a few tens of millions of years old, then the most massive stars are still on the main sequence. Their sizes are therefore significant, and collisions or mergers are possible. Ebisuzaki et al. (2001) and Portegies Zwart & McMillan (2002) have proposed that in a young cluster, core collapse may lead to multiple mergers of a single star with other stars, producing an extremely massive star that will leave behind a black hole of several hundred solar masses when the nuclear fuel of the star runs out.

The simulations backing this conclusion are not yet able to include the effects of binaries, because the binary orbital timescale is so much less than the relaxation time of the cluster. There are two expected effects from binaries that go in opposite directions. The first is the injection of heat mentioned above. This means that if there are many primordial binaries (as expected for massive stars based on observations of current star-forming regions; e.g., Elson et al. 1998), the central density of the cluster will not be as large as it would for single stars. By itself, this would decrease the collision rate significantly, and would therefore inhibit the growth of a large star by mergers. However, binary-single interactions are very complicated, meaning among other things that in such an encounter, two stars can pass very close to each other. For example, for three equal-mass stars the probability of some pair of stars passing within a distance $`ϵa`$ or less of each other (where $`a`$ is the original binary semimajor axis and $`ϵ<1`$) is $`ϵ^{1/2}`$ (Hut 1984; McMillan 1986; Sigurdsson & Phinney 1993). This tends to increase the collision rate.

It is not yet clear which of these effects is more important. It seems likely that the overall rate of collisions is increased by the presence of binaries. However, for growth of a large star it is essential that the large star undergo many collisions. The probability of multiple collisions for a single star may be decreased significantly by the decrease in stellar number density produced by binaries, but this has to be investigated. In addition, although the mergers themselves are likely to occur with little mass loss (see Lai, Rasio, & Shapiro 1993; Rasio & Shapiro 1994, 1995), the question is whether the mergers can happen rapidly enough to offset mass loss by winds, pulsational instabilities, or stellar evolution.

### 3.3 Old stellar clusters

If a cluster is more than $`10^8`$ yr old, then the remaining main sequence stars have masses $`\mathrm{¡}\mathrm{}10M_{}`$ and are therefore less massive than stellar-mass black holes. If a cluster is more than a few billion years old, then the main sequence stars are less massive than $`1.5M_{}`$ neutron stars. Therefore, in old clusters the most massive objects are compact stellar remnants. These compact objects have negligible cross sections, hence direct collisions do not happen. However, if the binaries get tight enough, gravitational radiation may play a major role.

Kulkarni, Hut, & McMillan (1993) and Sigurdsson & Hernquist (1993) have examined whether gradual tightening of a black hole binary in a cluster could lead to mergers in the cluster due to gravitational radiation. The issue is that the change in binding energy of a binary in an interaction is proportional to the original binding energy (Heggie 1975), therefore the recoil kicks become stronger as the binary tightens. Kulkarni, Hut, & McMillan (1993) and Sigurdsson & Hernquist (1993) found that for interactions of a single $`10M_{}`$ black hole with a binary $`10M_{}10M_{}`$ black hole, the recoil speed exceeds the $`50`$ km s-1 escape velocity from the core of a globular (Webbink 1985) before the binary becomes tight enough to merge by gravitational interaction. This may mean that globulars are the engines for many mergers, but that the mergers themselves happen well outside globulars (Portegies Zwart & McMillan 2002). On the other hand, Miller & Hamilton (2002a) showed that if one of the black holes in the binary has an initial mass $`M\mathrm{¿}\mathrm{}50M_{}`$, its inertia keeps it in the cluster and therefore it can undergo repeated mergers and, in principle, grow to $`M10^3M_{}`$ or more. In addition, binary-binary interactions might produce hierarchical triples in which the inner binary undergoes large eccentricity oscillations via the Kozai mechanism, such that the inner binary can merge without any dynamical recoil (Miller & Hamilton 2002b). The rates of such interactions, and the efficiency with which a black hole can grow, need to be investigated more thoroughly to determine the viability of this mechanism.

## 4 Implications for Gravitational Radiation

The rates and properties of gravitational waves from intermediate-mass black holes depend on many unknowns, including the number density of IMBH in the universe, the types of interactions they undergo, and their formation process. Their number density may be addressed by future X-ray and optical data (see the contributions by Mushotzky and van der Marel in these proceedings). For example, observations in the next few years may clarify the fraction of globular clusters that harbor IMBH, and the mass distribution of those black holes.

The formation process is also important. In the Population III and young cluster scenarios, the initial mass of the black hole is several hundred solar masses. These high masses mean that the frequency of gravitational waves from IMBH in binaries would be at most a few Hertz, which is too low for detectability from the ground. However, the longer-term inspiral of, e.g., a stellar-mass black hole into an IMBH in a cluster could be detected with space-based instruments such as LISA. If IMBH are common in globulars, then there may be tens of globulars around the Milky Way with IMBH binaries that have frequencies in the $`10^4\mathrm{Hz}\mathrm{¡}\mathrm{}f_{\mathrm{GW}}\mathrm{¡}\mathrm{}1\mathrm{Hz}`$ range of LISA (Miller 2002). These are persistent sources, and therefore the signal to noise will be increased by continued observation. However, the majority of those will have frequencies $`f_{\mathrm{GW}}<10^3`$ Hz, hence they will suffer confusion with the unresolved white dwarf binary background. A more promising source is globulars in the Virgo cluster of galaxies. Although Virgo is $`10^3`$ times more distant than Galactic globulars, it has several hundred times more globulars than our Galaxy, with the result that a few IMBH binaries are likely to be detectable in a few years with LISA (Miller 2002). The frequencies of detectable IMBH binaries in VIRGO will be $`f_{\mathrm{GW}}\mathrm{¿}\mathrm{}10^3`$ Hz, and therefore relatively free of contamination.

If instead IMBH form in old clusters, their initial masses are likely to be tens of solar masses (Miller & Hamilton 2002a). These masses imply gravitational wave frequencies in merger and ringdown of a few tens of Hertz, which is within reach of ground-based instruments. As many as tens of events per year could be detected with Advanced LIGO (Miller 2002). The LISA rate would also be enhanced slightly, because this scenario involves several mergers before becoming indistinguishable from pictures in which the initial mass is high.

In either case, although by the time the binaries enter the bandpasses of ground-based instruments they will be nearly circular (Wen 2002), in the LISA band the binaries are likely to have large eccentricities. This is because three-body interactions will continue until the gravitational radiation timescale is less than the time to the next encounter. The strong dependence of merger timescale on eccentricity (Peters 1964),

$$\tau _{\mathrm{GW}}3\times 10^8(M_{}^3/\mu M^2)(a/R_{})^4(1e^2)^{7/2}\mathrm{yr}$$
(3)
for a total binary mass $`M`$ and reduced mass $`\mu `$, means that if a binary is pushed to high eccentricity it is more likely to merge. This produces a significant selection effect towards high eccentricities, and means that the initial eccentricity of a binary on its final inspiral is usually $`e\mathrm{¿}\mathrm{}0.9`$ (Gultekin, Miller, & Hamilton, these proceedings). Therefore, effects such as pericenter precession will be detectable in the LISA signals. For IMBH binaries in the VIRGO cluster, one expects to see orbital decay as well (in addition, possibly, to Lense-Thirring precession), which gives enough information to solve for the distance to Virgo using just gravitational radiation (Miller 2002).

A final intriguing possibility for IMBH gravitational waves is that some number of IMBH may merge with the central supermassive black hole of a given galaxy (Madau & Rees 2001). Such events, which are the merger of a $`10^3M_{}`$ black hole with a $`10^{69}M_{}`$ black hole, have extremely high mass ratios and therefore can be treated using test particle techniques (Hughes 2001). In addition, since IMBH have masses tens to hundreds of times those of stellar-mass black holes, the signal to noise of such a merger is much greater than that of a stellar-mass black hole with a supermassive black hole. An event such as this would therefore provide incredibly precise probes of the spacetime of a rotating supermassive black hole. The event rate is difficult to estimate, but if tens of IMBH fall into a typical supermassive black hole in a Hubble time then a few to tens of such events per year can be expected (Miller 2002).

## 5 Impact of Future Observations

Despite the many exciting implications of intermediate-mass black holes, we must keep in mind that at this point they are not conclusively established to exist. Unambiguous measurements of the mass are required. For the ultraluminous X-ray sources the only way to do this is to identify a stellar companion and do radial velocity measurements, a very difficult task for objects that distant. For IMBH candidates in globular clusters, however, there are hints of effects in current data that may lead to dramatic improvements in our understanding.

Observations of M15 (Gerssen et al. 2002) and possibly other globulars (K. Gebhardt, personal communication) suggest that the cores of these globulars are rotating rapidly. The evidence comes from radial velocity measurements of stars and fits of models to them, and may soon be supplemented by proper motion measurements (K. Gebhardt, personal communication). Taken at face value, the evidence suggests that in the cores the ratio of rotation speed to velocity dispersion is $`v_{\mathrm{rot}}/\sigma 1`$. This is a surprising result. Simulations using n-body codes suggest that this rotation will be communicated outward, and that in a core relaxation time there will be little net rotation unless there is a supply of angular momentum in the core (e.g., Einsel & Spurzem 1999). Given that the core relaxation time is as short as $`10^7`$ yr in dense clusters such as M15, how can this angular momentum be supplied?

One possibility invokes an IMBH in a binary with a stellar-mass black hole (F. Rasio, personal communication). Such a binary has the required angular momentum, and can have the necessary rate (see Miller & Colbert 2003 for a more complete discussion). In addition, because after the binary hardens and merges the next binary would have an orbital plane at a random angle to the previous one, the position angle of rotation in the cluster is expected to wander as one measures farther from the center, consistent with observations (Gerssen et al. 2003). If the observational interpretation is confirmed, and if no other theoretical explanation is found, this has extremely exciting implications for gravitational wave generation. Not only would it confirm that IMBH exist, it would show that right now, IMBH in globulars are undergoing frequent coalescences with stellar-mass black holes, hence are strong sources of gravitational radiation with unique potential as astrophysical probes and testing grounds for predictions of general relativity.

Acknowledgements

We are grateful to Kayhan Gültekin, Doug Hamilton, and Steinn Sigurdsson for many enlightening conversations. This work was supported in part by NSF grant AST 0098436 and NASA grant NAG 5-13229.


text:
# Operator representations for a class of quantum entanglement measures and criterions

## I Introduction

Quantum entanglement is an essential physical resource to process quantum information and computation, which enables us to complete the tasks intractable in classical domain, such as quantum teleportation, quantum cryptography, Shor’s algorithm of factoring large numbers, and Grover’s quantum searching algorithm Ni .

In order to use such kind of resources efficiently, it is necessary to qualify the properties and quantify the degrees of quantum entanglement for a given quantum state. In this direction, continuous progresses have been made. To clarify the meaning and qualify the properties of entanglement, Werner defined separate state from whether being able to prepare the state classically, whose definition has become the standard mathematical basis of entanglement stateWer . Next, Peres proposed a famous necessary condition for separity —positive of partial transpose density operator Per , then Horodeckies prove this criteria is also sufficient in the cases of $`^2^2`$ and $`^2^3`$ Ho1 .

In order to quantify this property, many entanglement measures have been proposed in the past years, both for pure states and mixed statesBe ; Wo ; Ho . However, only for bipartite pure states the quantitative theory of entanglement satisfies with all the priori axioms of a good entanglement measure, which is mainly due to the existence of the celebrated Schmidt decomposition for these states. It is well known that the von Noemann entropy of the reduced density matrix $`S_E`$ is the unique measure for bipartite pure states in the sense that $`S_E`$ can be concentrated and diluted with unit asymptotic efficiencyBe ; Ni1 . However, Vidal developed the concept of entanglement monotone and shows that to characterize the non-local property of finite number bipartite pure states, indeed $`d1`$ independent measure is needed in the sense that there is $`d1`$ Schmidt coefficients Vi . Thus it is known that although the entanglement monotones have different asymptotic properties than $`S_E`$, they are important for characterizing non-local properties under LOCC transformations. For mixed state case, recently Wooters gives out an explicit expression of entanglement of formation in $`^2^2`$Woo . However, there are still many open questions, especially for many partite system and mixed states.

As we know, entanglement measures are functionals of density operator. However, quantities in traditional quantum physics are quantum observables. In this sense, entanglement measures are not standard physical quantum observables, and they are also not the average values of some entanglement measure operators. In this article, we attempt to establish the relations between entanglement measures and quantum observables. However, we achieve this end only for a specific class of entanglement measures, which will be analyzed in Section $`2`$, where the case for identical system is also considered. In sec. $`3`$, two specific examples are given based on different generations of Pauli matrixes, which preserve Hermitian and Unitary respectively. Finally, we apply those results to form a criterion of mixed state entanglement and a short summary is also given in sec. $`4`$.

## II Operator space representations for a class of quantum entanglement measures

For a bipartite pure state $`|\psi _{AB}`$ in Hilbert space $`_A^d_B^d^{}(dd^{})`$, a class of functions of reduced density operator $`\rho _A`$ can be defined as

$$M_e(n)=1\text{Tr}\widehat{\rho }_{A}^{}{}_{}{}^{n},(nNandn2)$$
(1)
where the reduced density operator $`\widehat{\rho }_A=\text{Tr}_B(|\psi _{AB}\psi _{AB}|)`$. It is easy to show that the above class of functions are entanglement monotones, or entanglement measures due to the fact that they only depend on the eigenvalues the reduced density matrix $`\rho _A`$, or equivalently the Schmidt numbers of the state $`|\psi _{AB}`$ Vi .

Denote the linear space of operators act on the Hilbert space $`_A^d`$ as $`_A^d`$, which is a linear space of $`d\times d`$ dimensions, and denote the arbitrary operator $`P_A^d`$ as $`|P`$ and $`P^{}_A^d`$ as $`P|`$. Define the inner product of $`_A^d`$ as

$$P|Q=\text{Tr}(P^{}Q),P,Q_A^d.$$
(2)
Then we can rewrite the class of entanglement measures in Eq. (1) as

$$M_e(n)=1\rho _A|\rho _A^{n2}|\rho _A.$$
(3)
For each entanglement measure $`M_e(n)`$, we take $`n1`$ sets of complete operators $`S_C^m=\{𝒪_i^m\}(m=1,2,\mathrm{},n1)`$, which satisfy

$$\underset{i}{}|𝒪_i^m𝒪_i^m|=1.$$
(4)
Using the above relations, we rewrite the entanglement measures as

$`M_e(n)`$ $`=`$ $`1{\displaystyle \underset{i_1,i_2,\mathrm{},i_{n1}}{}}\rho _A|𝒪_{i_1}^1𝒪_{i_1}^1|\rho _A|𝒪_{i_2}^2\mathrm{}𝒪_{i_{n2}}^{n2}|\rho _A|𝒪_{i_{n1}}^{n1}𝒪_{i_{n1}}^{n1}|\rho _A`$ (5)
$`=`$ $`1{\displaystyle \underset{i_1,i_2,\mathrm{},i_{n1}}{}}𝒪_{i_1}^1𝒪_{i_2}^2𝒪_{i_1}^{1}{}_{}{}^{}\mathrm{}𝒪_{i_{n1}}^{n1}𝒪_{i_{n2}}^{n2}{}_{}{}^{}𝒪_{i_{n1}}^{n1}{}_{}{}^{},`$
where

$$𝒪=\text{Tr}(\rho _A𝒪),$$
(6)
and obviously it is the also expected value of operator $`𝒪`$ in state $`|\psi _{AB}`$.

Eq. (5) is the main result of this paper and it relates the entanglement measures with physical obeservables, i.e., it tells us the following information: If we obtain a serious of expected values for some complete operators, the degree of entanglement can be evaluated by Eq. (5). In other words, we can measure entanglement by measuring some physical observables. It is worthy to note that physical observables can be represented by unitary operators besides Hermitian ones, in the sense that for any unitary operator we can always find such a Hermitian operator that might be mapped to the unitary operator by exponential functions.

In the case of $`n=2`$, Eq.(5) takes a much simpler form:

$$M_e(2)=1\underset{i}{}\left|𝒪_i\right|^2=\frac{1}{2}C_I^2.$$
(7)
Where $`C_I`$ is the generalized concurrence, or $`I`$-concurence for two qudits. It is well known that among all the entanglement monotones, concurrence is important since it is related to the entanglement of formation for two qubitsWo . It is also found that there is many ways to define concurrence for bipartite pure states, which reveals different physical meaningsBe ; Ab ; Ch . Very recently, the concept of concurrence is generalized to higher dimensions based on the “universal inverter” and the mathematical point of viewRu ; Fei , although almost all the ways of defining concurrence for two qubits can not be generalized to higher dimensionsWe . It is found that the generalized $`I`$-concurence $`C_I`$ with its mixed state counterpart is useful in characterizing the non-local properties for bipartite states, both pure and mixedRu2 ; De . Due to these reasons, we will concentrate our attention to this specific case and give explicit examples in the following section.

Before going to concrete example, we first consider a special case, i.e., entanglement of identical particle systems. Although the theory of entanglement is widely developed in the systems of distinguishable particles, only very recently the entanglement properties in identical particle systems began to attract much attentionslm ; sckll ; You ; lbll ; gf ; esbl  in the fields of quantum information and quantum computation. It is also shown that for any $`N`$ identical particle pure state $`|\psi _N`$, all the information of their quantum correlation between one particle and the others are contained in the single particle density matrix fan . Therefore our entanglement measure is not only suitable for bipartite case here, but also a measure (to see this is indeed an entanglement measure here, see ref Bre ) for $`N`$ identical particle entanglement, i.e.,

$$M_e(2)=1\underset{i=0}{\overset{d^21}{}}|\mathrm{\Psi }_N|O_i|\mathrm{\Psi }_N|^2.$$
(8)
## III Realization of $`M_e(2)`$ with Pauli Operators and its high dimensional generalizations

In this section, we will give examples of realization of $`M_e(2)`$ with Pauli operators and the two different generations of Pauli matrixes to higher dimensional Hilbert space, which preserve Hermitian and Unitary respectively. We know that an arbitrary state of two qubits in the Hilbert space $`H=H_AH_B`$ (where $`H_A=H_B=C^2`$) can be written as

$$\mathrm{\Psi }=\alpha _1|00+\alpha _2|01+\alpha _3|10+\alpha _4|11.$$
(9)
where $`_i|\alpha _i|^2=1`$.

Let $`s_i=\frac{1}{\sqrt{2}}\sigma _i`$, where $`\sigma _0=I`$ and $`\sigma _i(i=1,2,3)`$ are usual Pauli operators. Obviously $`\{s_i\}`$ form a basis for $`2\times 2`$ operator and thus

$`M_e(2)`$ $`=`$ $`1{\displaystyle \underset{i=0}{\overset{3}{}}}s_i^2=1{\displaystyle \frac{1}{2}}{\displaystyle \underset{i=0}{\overset{3}{}}}\sigma _i^2`$ (10)
$`=`$ $`{\displaystyle \frac{1}{2}}\left(1{\displaystyle \underset{i=0}{\overset{3}{}}}\sigma _i^2\right)={\displaystyle \frac{1}{2}}C^2,`$
where

$$C=2|\alpha _1\alpha _4\alpha _2\alpha _3|$$
(11)
is the usual concurrence.

For qudits case, we demonstrate two kinds of commonly used “generalized” Pauli operators. The first kind is so-called Gell-mann matrices $`\lambda _i`$, which are Hermitian generators of $`SU(d)`$. From the completeness relation of $`\lambda _i`$

$$\underset{i=1}{\overset{d^21}{}}(\lambda _i)_{kl}(\lambda _i)_{pq}=2\left(\delta _{kp}\delta _{lp}\frac{1}{d}\delta _{kp}\delta _{lp}\right),$$
(12)
it is easy to show that

$$M_e(2)=\frac{(d1)}{d}\frac{1}{d}\underset{i=1}{\overset{d^21}{}}\mathrm{\Psi }|\lambda _i|\mathrm{\Psi }^2.$$
(13)
It is noticed that this result is in fact already gotten in Ref. Mah .

Another kind of generalized Pauli operators are $`Z^mX^n`$, which are all unitary matrices. Here $`Z`$ and $`X`$ are the generators of quantum plane algebra with $`q^d=1`$ Sun . The $`Z`$-diagonal representation of $`Z`$ and $`X`$ given by

$`Z`$ $``$ $`{\displaystyle \underset{k_0}{\overset{d1}{}}}|kq_d^kk|,`$ (14)
$`X`$ $``$ $`{\displaystyle \underset{k=0}{\overset{d1}{}}}|kk+1|,`$ (15)
for $`q_d=e^{i\frac{2\pi }{d}}`$.

From the completeness relation of $`Z^mX^n`$

$$\frac{1}{d}\underset{m,n=0}{\overset{d1}{}}|Z^mX^nZ^mX^n|=1,$$
(16)
it is easy to show that

$$M_e(2)=1\frac{1}{d}\underset{m,n=0}{\overset{d1}{}}|\mathrm{\Psi }|Z^mX^n|\mathrm{\Psi }|^2.$$
(17)
## IV Applications to mixed state entanglement

Apparently the entanglement measure defined in Eq. (1) cannot be a entanglement measure for mixed state case. However, the technique developed above can help us to derive some criterion for mixed state entanglement.

The completeness relation Eq. (4) is equivalent to

$$\underset{i=1}{\overset{d^2}{}}O_i^{}YO_i=trY$$
(18)
for arbitrary $`d\times d`$ operator $`Y`$. Therefore, if $`Y=I`$ and $`O_m^i`$ are hermitian, we have

$$\underset{i=1}{\overset{d^2}{}}O_i^2=d.$$
(19)
So the sum of uncertainty of $`O_m`$ gives that

$`{\displaystyle \underset{i=1}{\overset{d^2}{}}}(\delta O_i)^2`$ $`=`$ $`{\displaystyle \underset{i=1}{\overset{d^2}{}}}\text{tr}(\rho O_i^2)(\text{tr}(\rho O_i))^2`$ (20)
$`=`$ $`d{\displaystyle \underset{i=1}{\overset{d^2}{}}}(\text{tr}(\rho O_i))^2=d{\displaystyle \underset{i=1}{\overset{d^2}{}}}O_i^2`$
$`=`$ $`d\text{tr}(\rho ^2)d1.`$
Then we can get a non-trivial sum uncertainty relation Hof1

$$\underset{i=1}{\overset{d^2}{}}\left(\delta \left(O_{iA}O_{iB}\right)\right)^22(d1)$$
(21)
to result in a sufficient condition for entanglement if the above inequality is violated. This entanglement criterion may be stronger than Peres-Horodecki criterion for it is shown that some PPT state violate this criterionHof2 .

This idea is also useful in $`N`$-identical particle case, which will lead to an entanglement criterion based on the sum uncertainty of collective operators for many identical particles. For $`N`$ identical particles, the collective operator is defined as

$$O_i=\underset{K=1}{\overset{N}{}}O_{iK},(K=1,2,\mathrm{},N).$$
(22)
Correspondingly the sufficient condition for a $`N`$ identical particles state to be entangled is

$$\underset{i=1}{\overset{d^2}{}}(\delta O_i)^2<N(d1).$$
(23)
Usually, for $`N`$-identical qubits we choose $`O_{iK}(i=0,1,2,3)`$ as $`I,s_1,s_2,s_3`$, then $`O_i(i=0,1,2,3)`$ will be the total spin of the system apart from a constant multiplier $`\frac{1}{\sqrt{2}}`$. This criterion is analogous to the criterions defined by the squeezing parameters in the literatures sq1 ; sq2 ; sq3 .

In summary, we showed that a class of entanglement measures for bipartite pure state can be expressed by the average values of quantum operators, which are related to any complete basis of one partite operator space with two specific examples given based on two different ways to generalize Pauli matrices to $`d`$ dimensional Hilbert space. In addition, applying our measure to mixed state case gave a sufficient condition for entanglement and the case for identical particle systems was also considered.

###### Acknowledgements.

The authors would like to thank Prof. L. You for useful discussions. The work of Z. X is supported by CNSF (Grant No. 90103004, 10247002). The work of D. L. Z is partially supported by the National Science Foundation of China (CNSF) grant No. 10205022.