Using scaling-region distributions to select embedding parameters

Abstract

Reconstructing state-space dynamics from scalar data using time-delay embedding requires choosing values for the delay $\tau$ and the dimension $m$. Both parameters are critical to the success of the procedure and neither is easy to formally validate. While embedding theorems do offer formal guidance for these choices, in practice one has to resort to heuristics, such as the average mutual information (AMI) method of Fraser & Swinney for $\tau$ or the false near neighbor (FNN) method of Kennel et al. for $m$. Best practice suggests an iterative approach: one of these heuristics is used to make a good first guess for the corresponding free parameter and then an "asymptotic invariant" approach is then used to firm up its value by, e.g., computing the correlation dimension or Lyapunov exponent for a range of values and looking for convergence. This process can be subjective, as these computations often involve finding, and fitting a line to, a scaling region in a plot: a process that is generally done by eye and is not immune to confirmation bias. Moreover, most of these heuristics do not provide confidence intervals, making it difficult to say what "convergence" is. Here, we propose an approach that automates the first step, removing the subjectivity, and formalizes the second, offering a statistical test for convergence. Our approach rests upon a recently developed method for automated scaling-region selection that includes confidence intervals on the results. We demonstrate this methodology by selecting values for the embedding dimension for several real and simulated dynamical systems. We compare these results to those produced by FNN and validate them against known results -- e.g., of the correlation dimension -- where these are available. We note that this method extends to any free parameter in the theory or practice of delay reconstruction