Mutual nonlinear prediction as a tool to evaluate coupling strength and directionality in bivariate time series: Comparison among different strategies based on k nearest neighbors

Abstract

We compare the different existing strategies of mutual nonlinear prediction regarding their ability to assess the coupling strength and directionality of the interactions in bivariate time series. Under the common framework of k -nearest neighbor local linear prediction, we test three approaches based on cross prediction, mixed prediction, and predictability improvement. The measures of interdependence provided by these approaches are first evaluated on short realizations of bivariate time series generated by coupled Henon models, investigating also the effects of noise. The usefulness of the three mutual nonlinear prediction schemes is then assessed in a common physiological application during known conditions of interaction-i.e., the analysis of the interdependence between heart rate and arterial pressure variability in healthy humans during supine resting and passive head-up tilting. Based on both simulation results and physiological interpretability of cardiovascular results, we conclude that cross prediction is valuable to quantify the coupling strength and predictability improvement to elicit directionality of the interactions in short and noisy bivariate time series