Model-free measure of coupling from embedding principle (1308.1531v3)

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.