Physical Review E
Embedding experimental data is a common first step in many forms of dynamical analysis. The choice of appropriate embedding parameters (dimension and lag) is crucial to the success of the subsequent analysis. We argue here that the optimal embedding of a time series cannot be determined by criteria based solely on the time series itself. Therefore we base our analysis on an examination of systems that have explicit analytic representations. A comparison of analytically obtained results with those obtained by an examination of the corresponding time series provides a means of assessing the comparative success of different embedding criteria. The assessment also includes measures of robustness to noise. The limitations of this study are explicitly delineated. While bearing these limitations in mind, we conclude that for the examples considered here, the best identification of the embedding dimension was achieved with a global false nearest neighbors argument, and the best value of lag was identified by the mutual information function.
© 2003 by the American Physical Society. The publisher's version of the article can be found at http://link.aps.org/doi/10.1103/PhysRevE.67.066210.
C.J. Cellucci, A.M. Albano and P.E. Rapp, Phys. Rev. E 67, 66210 (2003).