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Assessing coupling dynamics from an ensemble of time series

Research output: Contribution to journalArticleScientificpeer-review

Details

Original languageEnglish
Pages (from-to)1958-1970
Number of pages13
JournalEntropy
Volume17
Issue number4
DOIs
Publication statusPublished - 2015
Publication typeA1 Journal article-refereed

Abstract

Finding interdependency relations between time series provides valuable knowledge about the processes that generated the signals. Information theory sets a natural framework for important classes of statistical dependencies. However, a reliable estimation from information-theoretic functionals is hampered when the dependency to be assessed is brief or evolves in time. Here, we show that these limitations can be partly alleviated when we have access to an ensemble of independent repetitions of the time series. In particular, we gear a data-efficient estimator of probability densities to make use of the full structure of trial-based measures. By doing so, we can obtain time-resolved estimates for a family of entropy combinations (including mutual information, transfer entropy and their conditional counterparts), which are more accurate than the simple average of individual estimates over trials. We show with simulated and real data generated by coupled electronic circuits that the proposed approach allows one to recover the time-resolved dynamics of the coupling between different subsystems.

ASJC Scopus subject areas

Keywords

  • Ensemble, Entropy, Estimator, Time series, Transfer entropy, Trial

Publication forum classification

Field of science, Statistics Finland