Reconstructing state spaces from multivariate data using variable delays

Abstract

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.