Embedding of multidimensional time-dependent observations
Jakobus P. Barnard, Chris Aldrich, Marius Gerber · Physical review. E, Statistical physics, plasmas, fluids, and related interdisciplinary topics · 2001
A method is proposed to reconstruct dynamic attractors by embedding of multivariate observations of dynamic nonlinear processes. The Takens embedding theory is combined with independent component analysis to transform the embedding into a vector space of linearly independent vectors (phase variables). The method is successfully tested against prediction of the unembedded state vector in two case studies of simulated chaotic processes.