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. 2010 Jan;81(1 Pt 2):016203.
doi: 10.1103/PhysRevE.81.016203. Epub 2010 Jan 8.

Identifying hidden common causes from bivariate time series: a method using recurrence plots

Yoshito Hirata  1 , Kazuyuki Aihara
Affiliations

Identifying hidden common causes from bivariate time series: a method using recurrence plots

Yoshito Hirata et al. Phys Rev E Stat Nonlin Soft Matter Phys. 2010 Jan.

Abstract

We propose a method for inferring the existence of hidden common causes from observations of bivariate time series. We detect related time series by excessive simultaneous recurrences in the corresponding recurrence plots. We also use a noncoverage property of a recurrence plot by the other to deny the existence of a directional coupling. We apply the proposed method to real wind data.

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