Directional coupling detection through cross-distance vectors.

Abstract

Inferring the coupling direction from measured time series of complex systems is challenging. We propose a state-space-based causality measure obtained from cross-distance vectors for quantifying interaction strength. It is a model-free noise-robust approach that requires only a few parameters. The approach is applicable to bivariate time series and is resilient to artefacts and missing values. The result is two coupling indices that quantify coupling strength in each direction more accurately than the already established state-space measures. We test the proposed method on different dynamical systems and analyze numerical stability. As a result, a procedure for optimal parameter selection is proposed, circumventing the challenge of determining the optimal embedding parameters. We show it is robust to noise and reliable in shorter time series. Moreover, we show that it can detect cardiorespiratory interaction in measured data. A numerically efficient implementation is available at https://repo.ijs.si/e2pub/cd-vec.