Model-free measure of coupling from embedding principle

2013/08/07 by Chetan Nichkawde, Nichkawde, Chetan
Computer Science · Economics, Econometrics and Finance · Physics and Astronomy · #Chaos control and synchronization #Chaotic Dynamics (nlin.CD) #Complex Systems and Time Series Analysis #FOS: Physical sciences #Nonlinear Dynamics and Pattern Formation #nlin.CD

paper · pdf · doi:10.48550/arxiv.1308.1531

openalex publication_date 2013/08/07 · arxiv created 2014/02/17 · arxiv updated 2014/02/18 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

A model-free measure of coupling between dynamical variables is built from time series embedding principle. The approach described does not require a mathematical form for the dynamics to be assumed. The approach also does not require density estimation which is an intractable problem in high dimensions. The measure has strict asymptotic bounds and is robust to noise. The proposed approach is used to demonstrate coupling between complex time series from the finance world.

Citations

• The wavelet transform, time-frequency localization and signal analysis
• Kernel Method for Nonlinear Granger Causality
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods

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