Non-uniform state space reconstruction and coupling detection

@article{Vlachos2010NonuniformSS,
  title={Non-uniform state space reconstruction and coupling detection},
  author={Ioannis Vlachos and Dimitris Kugiumtzis},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2010},
  volume={82 1 Pt 2},
  pages={016207}
}
We investigate the state space reconstruction from multiple time series derived from continuous and discrete systems and propose a method for building embedding vectors progressively using information measure criteria regarding past, current, and future states. The embedding scheme can be adapted for different purposes, such as mixed modeling, cross-prediction and Granger causality. In particular, we apply this method in order to detect and evaluate information transfer in coupled systems. As a… CONTINUE READING
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