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Computer Methods and Programs in Biomedicine (2005) 80, 37—45

Methods and Programs in Biomedicine (2005) 80 , 37—45 Non-linear analysis of EEG signals at various
Methods and Programs in Biomedicine (2005) 80 , 37—45 Non-linear analysis of EEG signals at various

Non-linear analysis of EEG signals at various sleep stages

Rajendra Acharya U. a, , Oliver Faust a , N. Kannathal a , TjiLeng Chua a , Swamy Laxminarayan b

a Department of Electronics and Computer Engineering, School of Engineering, Ngee Ann Polytechnic, 535 Clementi Road, Singapore 599489, Singapore b Biomedical Research Institute & Institute of Rural Health, Idaho Sate University, USA

Received 14 January 2005 ; received in revised form 15 June 2005; accepted 17 June 2005


Correlation dimension;

Sleep stages;

Approximate entropy;

Hurst exponent;

Fractal dimension;


Summary Application of non-linear dynamics methods to the physiological sci- ences demonstrated that non-linear models are useful for understanding complex physiological phenomena such as abrupt transitions and chaotic behavior. Sleep stages and sustained fluctuations of autonomic functions such as temperature, blood pressure, electroencephalogram (EEG), etc., can be described as a chaotic pro- cess. The EEG signals are highly subjective and the information about the various states may appear at random in the time scale. Therefore, EEG signal parameters, extracted and analyzed using computers, are highly useful in diagnostics. The sleep data analysis is carried out using non-linear parameters: correlation dimension, fractal dimension, largest Lyapunoventropy, approximate entropy, Hurst exponent, phase space plot and recurrence plots. These non-linear parameters quantify the cortical function at different sleep stages and the results are tabulated. © 2005 Elsevier Ireland Ltd. All rights reserved.

1. Introduction

Non-linear dynamical analysis has emerged as a novel method for the study of complex systems in the past few decades. The non-linear analysis method is effectively applied to electroencephalo- gram (EEG) to study the dynamics of the complex underlying behavior [1]. The growth of this method as a tool for mental health evaluation mainly rests

Corresponding author. E-mail address: (R. Acharya U.).

on the non-invasive nature of EEG. The approach is based on the principles of non-linear dynamics and deterministic chaos that involves the charac- terization of the system attractors with its invariant parameters. This method is far more superior to the traditional linear methods such as the Fourier trans- forms and power spectral analysis [2]. Yet, since the EEG signal is non-stationary and noisy, all such stud- ies should be carried out with care and caution [3]. Analysis of sleep EEGs is a very important research branch of medicine, because of its clinical appli- cations (such as diagnosis of schizophrenia) and in brain dynamics research.

0169-2607/$ — see front matter © 2005 Elsevier Ireland Ltd. All rights reserved.



A.U. Rajendra et al.

Sleep is not a uniform state, but is character- ized by a cyclic alternating pattern of non-rapid eye movement (REM) and REM sleep [4—9]. Non- REM sleep encompasses the deeper stages of sleep (sleep stages 1 and 2, and slow wave sleep with sleep stages 3 and 4), whereas REM sleep is a highly activated state of the brain accompanied by dream- ing. Sleep patterns in humans undergo a marked change from birth to old age. In sleep 0 (awake) stage, the patient’s eyes are open and the EEG is rapidly varying. The voltage is low and the ‘‘beta waves’’ are prominent. Eyes move very slowly, the EEG frequency will be 6—8 Hz and alpha waves are more predominant in the sleep 1 (drowsiness) stage. Sleep 2 stage is the light sleep state, where the eye movements stop and our brain waves become slower. Special waves ‘K-complexes’ and sleep spindles begin to appear. In this state, EEG amplitude is medium and EEG frequency is 4—7 Hz. In stage 3 (deep sleep), extremely slow brain waves called delta waves begin to appear, interspersed with smaller, faster waves. EEG sig- nal will have the frequency 1—3 Hz and amplitude will be high. By stage 4 (deep sleep, slow wave sleep), the brain produces delta waves. It is very difficult to wake someone during stages 3 and 4, which together are called deep sleep. In stage 4, the amplitude of EEG will be high, but the fre- quency will be less than 2 Hz. The subject’s eyes move rapidly along with the occasional muscular twitches in sleep 5 (REM) stage. Theta wave is more predominant in this sleep stage. The importance of the biological time-series analysis, which exhibits typically complex dynam- ics, has long been recognized in the area of non-linear analysis. Several features of these approaches have been proposed to detect the hidden important dynamical properties of the physiological phenomenon. The analysis of these biological signals is complicated due to its highly irregular and non-stationary property. The non- linear dynamical techniques are based on the concept of chaos and it has been applied to many areas including the areas of medicine and biology. The theory of chaos has been used to detect some cardiac arrhythmia such as ventricular fibrillation [10]. Efforts have been made in determining non-linear parameters like correlation dimension for pathological signals and it has been shown that they are useful indicators of pathologies. Non-linear dynamics theory opens new window for understanding behavior of EEG. EEG models were proposed by Freeman [11] for neocortical dynamics. The technique has been extended here to identify the abnormalities of different types. In analysis of EEG data, different chaotic

measures such as correlation dimension, Lyapunov exponent and entropy are used in recent literature


Baumgaurt-Schmitt et al. have used neural net- work to classify the various sleep stages by extract- ing the features from the genetic algorithms [18]. Recently, the polysomnography of a healthy male subject was analyzed by evaluating the correlation dimensions. The correlation dimensions decreased from the ‘awake’ stage to sleep stages 1—3 and increased during rapid eye movement sleep. In each sleep cycle, the correlation dimensions decrease for slow wave sleep, and increase for REM sleep [19,20]. Fell et al. have calculated the first Lya- punovexponents (L 1 ) for different sleep EEG signal in 15 healthy subjects corresponding to the sleep stages 1—4 and REM. And they found statistically significant differences between the values of L 1 for different sleep stages [21]. Fell et al. have studied the sleep stages using the spectral analysis and non- linear techniques [22,23]. They concluded that non- linear measures yield additional information, which improves the ability to discriminate sleep stages. Recently, Dingli et al. have shown the spectral anal- ysis technique for the detection of cortical activity changes in sleep apnoea subjects. The most con- sistent significant change is the decrease in theta power, during NREM sleep is either associated with an increase in high frequencies (alpha and sigma) or delta increase [24]. In this work, we study the six different types of sleep signals using the non-linear parameters, namely correlation dimension (CD), Hurst exponent (H), approximate entropy (ApEn), largest Lyapunoventropy (LLE), fractal dimension (FD), phase space plot and recurrence plots (RP).

2. Methodology

2.1. Subjects

The EEG data for analysis were obtained from the Sleep-EDF Database available from the PhysioBank, a data resource. The recordings were obtained from Caucasian males and females (21—35 years old) without any medication. The recordings were taken for 24 h from eight subjects. Sleep EEG for 80 h is extracted from the recordings and sampled at 100 Hz. The sleep stages are coded according to Rechtschaffen and Kales based on Fpz-Cz/Pz-Oz EEG [25]. In this work, the maximum available sam- ples for different sleep states were taken from the PhysioBank, except for sleep state 0, where 1500 samples were selected. This sample size is suffi- cient for accurate analysis and gives better sample sizes distribution across the various sleep states.

Non-linear analysis of EEG signals at various sleep stages


In sleep 1 state, 800 samples (maximum available), 1000 samples in sleep 2—4 state and in sleep 5 state 900 samples (maximum available) were extracted from PhysioBank for our study.

2.2. Phase space plot

In this approach, a phase space plot is obtained

with the X-axis representing the EEG sample x(k), and the Y-axis representing the EEG sample after a delay x(k + T). The delay interval T is calculated using the minimal mutual information technique [26,27]. It has been observed that the patterns emerging on the screen can be correlated to the various sleep states. A method of estimating the embedding dimen- sion from the phase space patterns was proposed by Grassberger and Procaccia [28]. Other authors have verified that the embedding theorem restriction is only a sufficient, but not a necessary condition for dynamical reconstruction [29]. Nevertheless, the dimensionality of the attractor is usually unknown for experimental data and therefore, the corre- sponding embedding dimension is unknown. In the present work, an embedding dimension of 10 was chosen [30,31]. The software used for analysis is CDA Pro Data analyzer [31].

2.3. Correlation dimension

Correlation dimension describes the dimensionality of the underlying process in relation to its geomet- rical reconstruction in phase space. We estimated

CD using an approach based Grassberger—Procaccia

algorithm [28]. It estimates the average number of data points within a radius r of the data point X y .

Correlation dimension was calculated using the fundamental definition

CD = lim


log C(r)



where the correlation integral C(r) is given by

C(r) =


(N min )(N min 1)





y=x+ min

(r − |X x X y |)


where X x and X y are the points of the trajectory in the phase space, N the number of data points in phase space, r the radial distance around each reference point X i , the Heaviside function and min is the average correlation time, the time taken for the autocorrelation function to first decay to


2.4. Approximate entropy

Approximate entropy is defined as the logarithmic likelihood that the patterns of the data that are close to each other will remain close for the next comparison with a longer pattern. Thus, ApEn provides a generalized measure of regularity. A deterministic signal with high regularity has a higher probability of remaining close for longer vectors of the series and hence has a very small ApEn value. On the other hand, a random signal has a very low regularity and produces a high ApEn value. Approximate entropy is a measure of complex- ity and is applied to relatively short and noisy data [32,33]. In EEG analysis, there are very few reported results [34] of the application of ApEn. Two parameters m and r must be chosen prior to the computation of ApEn, where m specifies the pattern length and r is the effective filter. Here, one has to compute the correlation integral C m (r) (with embedding dimension m and time lag 1). This measure is finally obtained as follows:

ApEn(m, r, L) =


L m



log C m+1 (r)





log C m (r)



L m + 1


Thus, ApEn quantifies the (log) likelihood that sets of patterns that are close on next incremental comparison. Smaller values of ApEn imply a greater likelihood that certain patterns of measurements will be followed by similar measurements. If the time-series is highly irregular, the occurrence of similar patterns in the future is less likely. For this study, m is set to 2 and r is set to 15% of the standard deviation of each time-series.

2.5. Largest Lyapunov exponent ( max )

Largest Lyapunovexponent reflects the sensitiv- ity of the system to the initial conditions. The time-domain signal is embedded in the phase space, and examined there in. If the attractor, during its orbit, passes closely to a state it was previously in and diverges, max provides a measure of the rate of this (typically exponent) divergence


It defines the averaged rate of divergence (or convergence) of two neighboring trajectories. For two points in a space X 0 and X 0 + x 0 , that are func- tion of time and each of which will generate an orbit in that space using some equation or system of equations, then the separation between the two


A.U. Rajendra et al.

orbits x will also be a function of time. This sepa- ration is also a function of the location of the initial value and has the form x(X 0 , t). For chaotic data set, the function x(X 0 , t) will behave erratically. The mean exponential rate of divergence of two initially close orbits is characterized by

t˛ 1

x(X 0 , t)

= lim



X 0 |



This number, called the Lyapunovexponent ‘‘ ’’, is useful for distinguishing among the various types of orbits.

2.6. Hurst exponent

The Hurst exponent is a measure that has been widely used to evaluate the self-similarity and cor- relation properties of fractional Brownian noise, the time-series produced by a fractional (fractal) Gaussian process. Hurst exponent is used to evalu- ate the presence or absence of long-range depen- dence and its degree in a time-series. However, local trends (non-stationarities) are often present in physiological data and may compromise the abil- ity of some methods to measure self-similarity. The Hurst exponent is a measure of the smoothness of a fractal time-series based on the asymptotic behav- ior of the rescaled range of the process. The Hurst exponent, H, is defined as:


= log(R/S)

log(T )


where T is the duration of the sample of data and R/S is the corresponding value of rescaled range. The above expression is obtained from the Hurst’s generalized equation of time-series that is also valid for Brownian motion. It is given by

R/S = k × T H , where k is a constant. If H = 0.5, the behavior of the time-series is similar to a ran- dom walk; if H < 0.5, the time-series covers less ‘‘distance’’ than a random walk (i.e. if the time- series increases, it is more probable that then it will decrease, and vice-versa); if H > 0.5, the time- series covers more ‘‘distance’’ than a random walk (if the time-series increases, it is more probable that it will continue to increase). Given a time-

series x(n), n = 1,

, N, H can be estimated by

taking the slope of (R/S) plotted versus n in a log—log scale. H is related to the fractal dimension D: H = E + 1 D, where E is the Euclidean dimension.

2.7. Fractal dimension

The term ‘‘fractal’’ was first introduced by Man- delbrot [36]. A fractal is a set of points that when

looked at smaller scales, resembles the whole set. The concept of fractal dimension that refers to

a non-integer or fractional dimension originates

from fractal geometry. In traditional geometry, the topological or Euclidean dimension of an object is known as the number of directions each differen- tial of the object occupies in space. This definition of dimension works well for geometrical objects

whose level of detail, complexity or ‘‘space-filling’’

is the same. However, when considering two frac-

tals of the same topological dimension, their level


‘‘space-filling’’ is different, and that information


not given by the topological dimension. The FD

emerges to provide a measure of how much space an object occupies between Euclidean dimensions. The FD of a waveform represents a powerful tool

for transient detection. This feature has been used

in the analysis of ECG and EEG to identify and dis-

tinguish specific states of physiological function. Many algorithms are available to determine the FD of the waveform. In this work, algorithm pro- posed by Katz is implemented for analysis of EEG signals.

2.8. Katz algorithm

Using Katz’s method [37], the FD of a curve can be defined as,


Katz = log 10


log 10 (d)


where L is the total length of the curve or sum of distances between successive points and d is the diameter estimated as the distance between the

first point of the sequence and the point of the sequence that provides the farthest distance. Math- ematically, d can be expressed as d = max( x(1), x(i) ). Considering the distance between each point of the sequence and the first, point i is the one that maximizes the distance with respect to the first point. The FD compares the actual number of units that compose a curve with the minimum number of units required to reproduce a pattern of the same spatial extent. FDs computed in this fashion depend upon the measurement units used.

If the units are different, then so are the FDs.

Katz’s approach solves this problem by creating

a general unit or yardstick: the average step

or average distance between successive points, a. Normalizing the distances D Katz is then given



Katz = log 10


log 10 (d/a)


Non-linear analysis of EEG signals at various sleep stages


2.9. Recurrence plot

Recurrence plots are a valuable tool for assessing the geometry of the dynamics exploiting non-linear dependencies even in non-stationary time-series; therefore, it is particularly useful in the analysis of physiological data. These plots disclose distance relationships between points on a dynamical sys- tem providing a faithful representation of the time dependencies (correlations) contained in the data [38]. This is a graphical tool for the diagnosis of drift and hidden periodicities in the time evolution of dynamical systems, which are unnoticeable otherwise. Let s(i) be the ith point on the orbit describ- ing a dynamical system in d E -dimensional space. The recurrence plot is an N × N square, where a dot is placed at (i, j) whenever s(j) is sufficiently close to s(i). To obtain a recurrence plot from time- series s(n), an embedding dimension d E , is chosen by method of delays [39]. Next, we choose r(i) such that the ball of radius r(i) centered at s(i) in R d E contains reasonable number of other points s(j) of the orbit. Finally, we plot at each point (i, j) for which s(j) is in the ball of radius r(i) centered at s(j). The resulting plot is the recurrence plot.

2.10. Non-linear dynamics using surrogate data

For the noisy and short time-series, standard chaotic dynamics algorithms can give spurious results, i.e. they can indicate the presence of the non-linear dynamics in completely random systems. Recently, the surrogate data techniques have been developed to distinguish the chaotic systems from the linearly correlated noise [40]. The ‘‘surrogate’’ data sets are created from the original data. The ‘‘surrogate’’ data are completely stochastic, but they contain exactly the same linear correlations as that in the original time-series. The practical way to do this is to take the Fourier transform of the original data, randomize the phases while keeping the magnitudes intact, and then make the invert Fourier transform. The resulting time-series have the same power spectrum as the initial data set, but they are random in all other respects. Then, one can compute any chaos parameter, for example, cor- relation dimension, using the same algorithm for both, original and surrogate data sets. If the differ- ence between the real and the surrogate dimension is significantly larger than the standard deviation of the surrogate dimensions calculated from different sets, then it is a strong indication of the non-linear structure in the investigated time-series. This is obtained using the Chaos Data Analyzer [31].

2.11. ANOVA test

The p-value can be obtained using analysis of variance between groups (ANOVA) test. ANOVA uses variances to decide whether the means are different. This test uses the variation (variance) within the groups and translate into variation (i.e. differences) between the groups, taking into account how many subjects there are in the groups. If the observed differences are high, then it is considered to be statistically significant.

3. Results

The ApEn, CD, LLE, FD and H have higher value for the sleep 0 (awake) state due to the highly active cortex and desynchronized EEG signals. In this state, the EEG signal becomes highly random. In sleep 1—4 states, this value falls gradually due to the reduction in the variability of EEG signals and the cortex becomes more inactive. In sleep 4 state, the ApEn will be lowest due to the very low varia- tion in the EEG signals. The sleep 5 state is the REM state. In this state, the variation is slightly more and as a result the ApEn increases. The mean CD decreases from the awake state to stages of 1—4 and then increases during the rapid eye movement sleep. This change in the CD for different sleep states is attributed for their signal variability. Largest Lyapunovexponents ( max ) provide a measure of the rate of this divergence. This value is increased for sleep 3 and 5 states due to more variation involved as compared to the other states. The self-similarity parameter, Hurst exponent (H), is obtained for all data sets. This value gradu- ally decreases from state 1 to 2. It has a maximum value in state 3 from which it decreases in the states 3 and 4 and has maximum value in state 5 indicating higher self-similarity. The reduction in FD values characterizes the reduction in brain system complexity for the sub- jects during the sleep activity. The FD decreases from sleep 0 to 1—4 states, because of the decrease in the frequency. And this FD increases in sleep 5 state due to increase in the frequency. All the results are presented as mean ± S.D. with ‘‘p’’-values in Table 1. The results of these were subjected to ANOVA test with more than 95% con- fidence interval giving excellent ‘p’-values in all cases. In sleep 0 state, the variation is very high. Hence, in the recurrence plot, there are many yellow strips (presence of beta activity), indicating


A.U. Rajendra et al.

Table 1

Result of various non-linear parameters for various sleep stages


Sleep 0

Sleep 1

Sleep 2

Sleep 3

Sleep 4

Sleep 5



1.45 ± 0.19

1.60 ± 0.21

1.39 ± 0.20 0.91 ± 0.47 5.96 ± 0.67 0.84 ± 0.31 0.58 ± 0.24

1.74 ± 0.11 0.45 ± 0.53 6.29 ± 0.67 1.10 ± 0.30 0.25 ± 0.07

1.81 ± 0.05 0.28 ± 0.41 6.42 ± 0.54 0.98 ± 0.28 0.23 ± 0.07

1.55 ± 0.20 0.83 ± 0.51 6.30 ± 0.59 1.02 ± 0.41 0.43 ± 0.23



0.97 ± 0.40

0.68 ± 0.57



6.03 ± 0.86

6.34 ± 0.60



0.91 ± 0.34

0.95 ± 0.21



0.51 ± 0.20

0.39 ± 0.19


the presence of high frequencies (Fig. 1(a)). In sleep 1 stage, the high frequency component decreases and is indicated by blue, red and green patches (Fig. 2(a)). The presence of blue and green patches indicates the theta activity in this state. The sleep 2—4 states show patches of blue, red and green colors indicating less variation in the EEG signal (Figs. 3(a), 4(a) and 5(a), respectively).

In sleep 2 state, the theta activity is indicated by blue patches. In state 3, the EEG signal frequency decreases further, the delta waves begin to appear (is indicated by small green patches). And in sleep state 4, these blue and green patches decreases indicating the decrease in the frequency and also the presence of delta wave. Finally, in sleep state 5, there are still patches of blue and yellow colors

state 5, there are still patches of blue and yellow colors Fig. 1 (a) Result of

Fig. 1

(a) Result of recurrence plot at sleep 0 stage. (b) Phase space plot at sleep 0 stage.

at sleep 0 stage. (b) Phase space plot at sleep 0 stage. Fig. 2 (a) Result

Fig. 2

(a) Result of recurrence plot at sleep 1 stage. (b) Phase space plot at sleep 1 stage.

Non-linear analysis of EEG signals at various sleep stages


analysis of EEG signals at various sleep stages 43 Fig. 3 (a) Result of recurrence plot

Fig. 3

(a) Result of recurrence plot at sleep 2 stage. (b) Phase space plot at sleep 2 stage.

at sleep 2 stage. (b) Phase space plot at sleep 2 stage. Fig. 4 (a) Result

Fig. 4

(a) Result of recurrence plot at sleep 3 stage. (b) Phase space plot at sleep 3 stage.

at sleep 3 stage. (b) Phase space plot at sleep 3 stage. Fig. 5 (a) Result

Fig. 5

(a) Result of recurrence plot at sleep 4 stage. (b) Phase space plot at sleep 4 stage.


A.U. Rajendra et al.

44 A.U. Rajendra et al. Fig. 6 (a) Result of recurrence plot at sleep 5 stage.

Fig. 6

(a) Result of recurrence plot at sleep 5 stage. (b) Phase space plot at sleep 5 stage.

indicating the low and high frequencies (Fig. 6(a)). These figures are unique for the different sleep states. Fig. 1(b) shows the phase space plot for the sleep 0 (awake) state. It shows a wide spread, indicating more variation in the EEG in this state. Figs. 2(b), 3(b), 4(b) and 5(b) indicate the phase space plots of the sleep 1—4 states. The phase space plot area decreases from states 1 to 4, due to the decrease in the variation and at state 5, the spread is wide due to the increase in the EEG variation (Fig. 6(b)). To test for the non-linearity of the sleep EEG signal, 20 sets of surrogate data are generated for each of the five stages of sleep. ApEn is obtained for both the original and surrogate data sets. We found that the surrogate data ApEn and original data ApEn are different from each other by more than 50%. The similar procedure is repeated for cor- relation dimension. The surrogate data correlation dimension and original data correlation dimension are different from each other by more than 58%. This rejects the null hypothesis and hence the orig- inal data contain non-linear features.

4. Discussion

The cortex becomes more inactive as the person goes through from one sleep stage to the next stage, until sleep 4 state. Hence, less number of neurons will be available for processing the infor- mation and as a result the entropy, CD, LLE and H fall. But in sleep 5 (REM) state, the brain is very active in this state, almost to the level at which it is when a person is awake. Blood flow to the brain is also increased during this stage of sleep. As a result, the cortex becomes more active and

more neurons will be available for processing the information. Kobayashi et al. have used the polysomnogra- phy of a healthy male subject to analyze the sleep stages by calculating the correlation dimensions [19]. The correlation dimensions decreased from the ‘awake’ stage to sleep stages 1—3 and increased during rapid eye movement sleep. These results were seen during each sleep cycle. In each sleep cycle, the correlation dimensions decrease for slow wave sleep, and increase for REM sleep. Fell et al. have studied the sleep stages using the spectral analysis and non-linear techniques [22,23]. They evaluated the spectral measures like relative delta power, spectral edge, spectral entropy and first spectral moments, and non-linear measures like correlation dimension, largest Lyapunovexponent and approximated Kolmogoroventropy (K2). And they showed that the non-linear parameters (CD and LLE) performed better in discriminating sleep stages 1 and 2, whereas the values of spectral mea- sures were distinct for stages 2 and 3. Combinations of spectral and non-linear measures yielded a bet- ter overall discrimination of sleep stages than spec- tral measures alone.

5. Conclusion

In this work, we have analyzed the cortical func- tioning at different sleep stages using the non- linear parameters: FD, CD, max , ApEn and Hurst exponent. These values decrease indicating the reduction in the disorder from sleep states 0 to 4, due to the lesser number of available neurons in each state for processing. But in sleep 5 state, these values increase due to the highly active cortex. The

Non-linear analysis of EEG signals at various sleep stages


spread of the phase space plot and the recurrence plot are unique for each sleep state. In this work, we have proposed a set of ranges for these non- linear parameters during the various sleep states.


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