Transfer entropy on symbolic recurrences

Maurizio Porfiri, Manuel Ruiz Marín

Research output: Contribution to journalArticle

Abstract

Recurrence quantification analysis offers a powerful framework to investigate complexity in dynamical systems. While several studies have demonstrated the possibility of multivariate recurrence quantification analysis, information-theoretic tools for the discovery of causal links remain elusive. Particularly enticing is to formulate information-theoretic tools on symbolic recurrence plots, which alleviate some of the methodological challenges of traditional recurrence plots and offer a richer representation of recurrences. Toward this aim, we establish a probability space in which we ground a theory of information that encodes information in the recurrences of the symbols. We introduce transfer entropy on symbolic recurrences as a tool to guide the inference of the strength and direction of the interaction between dynamical systems. We demonstrate statistically reliable discovery of causal links on synthetic and experimental time series, from only two time series or a larger dataset with multiple realizations. The proposed approach brings together recurrence plots, information theory, and symbolic dynamics to empower researchers and practitioners with effective means to visualize and quantify interactions in dynamical systems.

Original languageEnglish (US)
Article number063123
JournalChaos
Volume29
Issue number6
DOIs
StatePublished - Jun 1 2019

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Recurrence Plot
Recurrence
dynamical systems
Dynamical systems
Entropy
plots
Recurrence Quantification Analysis
entropy
Time series
Dynamical system
information analysis
Information analysis
information theory
Information theory
inference
Symbolic Dynamics
Multivariate Analysis
Probability Space
Information Theory
Interaction

ASJC Scopus subject areas

  • Statistical and Nonlinear Physics
  • Mathematical Physics
  • Physics and Astronomy(all)
  • Applied Mathematics

Cite this

Transfer entropy on symbolic recurrences. / Porfiri, Maurizio; Ruiz Marín, Manuel.

In: Chaos, Vol. 29, No. 6, 063123, 01.06.2019.

Research output: Contribution to journalArticle

Porfiri, Maurizio ; Ruiz Marín, Manuel. / Transfer entropy on symbolic recurrences. In: Chaos. 2019 ; Vol. 29, No. 6.
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