Mutual information between two time series.

  • #1

Main Question or Discussion Point

So I am studying chaotic dynamical systems and I need to find mutual information between two chaotic time series say x(t) and y(t). Any help would be much appreciated.
 

Answers and Replies

  • #2
FactChecker
Science Advisor
Gold Member
5,384
1,952
Not sure what you mean by "mutual information". Since they are both chaotic, I assume that you are looking for their cross correlation. The cross correlation is a series of numbers, ci, i=0, ±1, ±2, ±3, ...., that are the correlations between xj and yj+i. If there is a linear combination of cross correlations that is statistically significant, then the two series are probably related in some way. There are software statistical packages that you can use to obtain the cross correlations.
 
  • #3
Not sure what you mean by "mutual information". Since they are both chaotic, I assume that you are looking for their cross correlation. The cross correlation is a series of numbers, ci, i=0, ±1, ±2, ±3, ...., that are the correlations between xj and yj+i. If there is a linear combination of cross correlations that is statistically significant, then the two series are probably related in some way. There are software statistical packages that you can use to obtain the cross correlations.

Actually finding correlation would only help us find any linear correlations but chaotic time series means non-linear correlations as well. For that we need to calculate the mutual information.
 
  • #4
FactChecker
Science Advisor
Gold Member
5,384
1,952
Actually finding correlation would only help us find any linear correlations but chaotic time series means non-linear correlations as well. For that we need to calculate the mutual information.
Sorry. It sounds like you are really talking about information theory of chaotic systems. I have no knowledge on the subject.
 

Related Threads on Mutual information between two time series.

Replies
7
Views
5K
  • Last Post
Replies
3
Views
6K
  • Last Post
Replies
0
Views
3K
Replies
7
Views
481
  • Last Post
Replies
3
Views
12K
  • Last Post
Replies
4
Views
66K
  • Last Post
Replies
1
Views
3K
Replies
1
Views
443
  • Last Post
Replies
6
Views
828
Replies
7
Views
4K
Top