Using Curvature to Select the Time Lag for Delay Reconstruction

Abstract: We propose a curvature-based approach for choosing good values for the time-delay parameter $\tau$ in delay reconstructions. The idea is based on the effects of the delay on the geometry of the reconstructions. If the delay is chosen too small, the reconstructed dynamics are flattened along the main diagonal of the embedding space; too-large delays, on the other hand, can overfold the dynamics. Calculating the curvature of a two-dimensional delay reconstruction is an effective way to identify these extremes and to find a middle ground between them: both the sharp reversals at the ends of an insufficiently unfolded reconstruction and the folds in an overfolded one create spikes in the curvature. We operationalize this observation by computing the mean over the Menger curvature of 2D reconstructions for different time delays. We show that the mean of these values gives an effective heuristic for choosing the time delay. In addition, we show that this curvature-based heuristic is useful even in cases where the customary approach, which uses average mutual information, fails --- e.g., noisy or filtered data.