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Abstract

We present a methodology for the study of the dispersion of trajectories of stochastic processes in reconstructed phase spaces from observed data. The methodology allows to find ensembles of analog states, i.e. states that are infinitesimally close in the phase space. Once these states are found, we focus on the characterization of their dispersion in function of 1) the time and 2) their initial separation. We study a experimental turbulent velocity measurement and two scale-invariant stochastic processes: a regularized fractional Brownian motion and a regularized multifractal random walk. Both stochastic processes are synthesized to have the same covariance structure as the experimental turbulent velocity, but only the regularized multifractal random walk mimics the intermittency of turbulent velocity. We illustrate that while the covariance structure of the processes governs the time dependence of the dispersion of the analog states, the intermittency phenomenon is responsible of the impact of the initial separation of the analogs on their dispersion.