Information theory approach to determine embedding parameters for phase space reconstruction of chaotic time series

Abstract

We have studied the determination of delay time and embedding dimension for phase space reconstruction of chaotic time series using the information theory. We use the symbolic analysis method to compute mutual information for determining the delay time. Furthermore we also present an information theory approach to determine embedding dimension. That is, we determine the embedding dimension by considering the variation of the conditional entropy of the reconstructed vector with its dimension. Numerical simulations verify that the method is applicable for determining an appropriate embedding dimension.