Measuring interdependences in dissipative dynamical systems with estimated Fokker-Planck coefficients

Abstract

We propose a data-driven approach to measure interdependences between dissipative dynamical systems under the influence of noise. We estimate drift and diffusion coefficients of a Fokker-Planck equation and derive measures that allow one to quantify the asymmetry in coupling in a fully automated and computationally inexpensive and simple way. Our approach makes it possible to discriminate between interdependences in the deterministic and stochastic parts of the dynamics. We report results of numerical studies of exemplary time series from coupled stochastic and deterministic model systems and of an application to electroencephalographic recordings from epilepsy patients.