期刊
INTERNATIONAL JOURNAL OF BIFURCATION AND CHAOS
卷 19, 期 12, 页码 4197-4215出版社
WORLD SCIENTIFIC PUBL CO PTE LTD
DOI: 10.1142/S0218127409025298
关键词
Mutual information; probability density; time series; nonlinear systems
资金
- E.U.-European Social Fund
- Greek Ministry of Development-GSRT
- Rikshospitalet, Norway
We study some of the most commonly used mutual information estimators, based on histograms of fixed or adaptive bin size, k-nearest neighbors and kernels and focus on optimal selection of their free parameters. We examine the consistency of the estimators (convergence to a stable value with the increase of time series length) and the degree of deviation among the estimators. The optimization of parameters is assessed by quantifying the deviation of the estimated mutual information from its true or asymptotic value as a function of the free parameter. Moreover, some commonly used criteria for parameter selection are evaluated for each estimator. The comparative study is based on Monte Carlo simulations on time series from several linear and nonlinear systems of different lengths and noise levels. The results show that the k-nearest neighbor is the most stable and less affected by the method-specific parameter. A data adaptive criterion for optimal binning is suggested for linear systems but it is found to be rather conservative for nonlinear systems. It turns out that the binning and kernel estimators give the least deviation in identifying the lag of the first minimum of mutual information from nonlinear systems, and are stable in the presence of noise.
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