title: Estimating the decomposition of predictive information in multivariate systems.
abstract: In the study of complex systems from observed multivariate time series, insight into the evolution of one system may be under investigation, which can be explained by the information storage of the system and the information transfer from other interacting systems. We present a framework for the model-free estimation of information storage and information transfer computed as the terms composing the predictive information about the target of a multivariate dynamical process. The approach tackles the curse of dimensionality employing a nonuniform embedding scheme that selects progressively, among the past components of the multivariate process, only those that contribute most, in terms of conditional mutual information, to the present target process. Moreover, it computes all information-theoretic quantities using a nearest-neighbor technique designed to compensate the bias due to the different dimensionality of individual entropy terms. The resulting estimators of prediction entropy, storage entropy, transfer entropy, and partial transfer entropy are tested on simulations of coupled linear stochastic and nonlinear deterministic dynamic processes, demonstrating the superiority of the proposed approach over the traditional estimators based on uniform embedding. The framework is then applied to multivariate physiologic time series, resulting in physiologically well-interpretable information decompositions of cardiovascular and cardiorespiratory interactions during head-up tilt and of joint brain-heart dynamics during sleep.
authors: BIOtech, Department of Industrial Engineering, University of Trento and IRCS Program, PAT-FBK, 38122 Trento, Italy.
authors: Luca
authors: L
authors: Faes
authors: Department of Electrical and Computer Engineering, Aristotle University of Thessaloniki, Thessaloniki 54124, Greece.
authors: Dimitris
authors: D
authors: Kugiumtzis
authors: BIOtech, Department of Industrial Engineering, University of Trento and IRCS Program, PAT-FBK, 38122 Trento, Italy.
authors: Giandomenico
authors: G
authors: Nollo
authors: Sleep Laboratory, Department of Psychiatry, Université Libre de Bruxelles, Erasme Academic Hospital, 1050 Brussels, Belgium.
authors: Fabrice
authors: F
authors: Jurysta
authors: Department of Data Analysis, University of Ghent, 9000 Ghent, Belgium.
authors: Daniele
authors: D
authors: Marinazzo
mesh_terms: D004569:Electroencephalography; D019277:Entropy; D006339:Heart Rate; D016247:Information Storage and Retrieval; D016014:Linear Models; D008962:Models, Theoretical; D015999:Multivariate Analysis; D017711:Nonlinear Dynamics; D012890:Sleep; D013269:Stochastic Processes