Reconstructing state spaces from multivariate data using variable delays.
We study two methods for constructing a nonuniform embedding for multivariate data. A nonuniform embedding is a state space reconstruction which is more flexible than the common delay coordinates with fixed delays since it contains variable delays. Using these methods, we can extract causal relationships among many variables in a more suitable way. We demonstrate that the proposed methods can give more precise predictions and simpler models than some previous methods.
Hirata
Yoshito
Y
Department of Mathematical Informatics, The University of Tokyo, 7-3-1 Hongo, Bunkyo-ku, Tokyo 113-8656, Japan. yoshito@sat.t.u-tokyo.ac.jp
Suzuki
Hideyuki
H
Aihara
Kazuyuki
K