On the Efficacy of State Space Reconstruction Methods in Determining Causality

We present a theoretical framework for inferring dynamical interactions between weakly or mod- erately coupled variables in systems where deterministic dynamics plays a dominating role. The variables in such a system can be arranged into an interaction graph, which is a set of nodes con- nected by directed edges wherever one variable directly drives another. In a system of ordinary differential equations, a variable x directly drives y if it appears nontrivially on the right-hand side of the equation for the derivative of y. Ideally, given time series measurements of the variables in a system, we would like to recover the interaction graph. We introduce a comprehensive theory show- ing that the transitive closure of the interaction graph is the best outcome that can be obtained from state space reconstructions in a purely deterministic system. Our work depends on extensions of Takens' theorem and the results of Sauer et al. (J. Stat. Phys., 65 (1991), pp. 579-616) that charac- terize the properties of time-delay reconstructions of invariant manifolds and attractors. Along with the theory, we discuss practical implementations of our results. One method for empirical recovery of the interaction graph is presented by Sugihara et al. (Science, 338 (2012), pp. 496-500), called convergent cross-mapping. We show that the continuity detection algorithm of Pecora et al. (Phys. Rev. E, 52 (1995), pp. 3420-3439) is a viable alternative to convergent cross-mapping that is more consistent with the underlying theory. We examine two examples of dynamical systems for which we can recover the transitive closure of the interaction graph using the continuity detection technique. The strongly connected components of the recovered graph represent distinct dynamical subsystems coupled through one-way driving relationships that may correspond to causal relationships in the underlying physical scenario.