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convergent cross mapping

version 1.3.0.0 (35.2 KB) by Jozef Jakubik
CCM, L and M causality

17 Downloads

Updated 25 Aug 2016

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ref.: http://arxiv.org/abs/1511.00505
Convergent cross mapping algorithm from:
Sugihara, George, et al., Detecting Causality in Complex Ecosystems, Science 26 October 2012, Vol. 338, no. 6106, pp. 496-500.
for detecting causality.
+ L and M causality.
SugiLM - predict values based on historical data
SugiLM1 - predict values based on all available data
Sugi - same as SugiLM1, but without L and M (faster than SugiLM1)

Cite As

Jozef Jakubik (2020). convergent cross mapping (https://www.mathworks.com/matlabcentral/fileexchange/52964-convergent-cross-mapping), MATLAB Central File Exchange. Retrieved .

Comments and Ratings (7)

PENG LIU

APPLE ELLA

thanks for ur sharing ,but why my convegent map shows downward and volatility,my data form is daily,please reply me 1139873461@qq.com,thank u

Pony Chen

Sugiharas CMM correlation for estimate of X and original X in coupled case

ans =

0.9167

Sugiharas CMM correlation for estimate of Y and original Y in coupled case

ans =

0.2207

Sugiharas CMM correlation for estimate of X and original X in non-coupled case

ans =

0.0985

Sugiharas CMM correlation for estimate of Y and original Y in non-coupled case

ans =

-0.1082
why do you say couple and non-couple, I observed that the methods invoked are the same, please mail to me (chenxofhit[at]gmail.com)Jakubik, waiting for your reply! Thanks very much.

SugiLM uses for the manifold just historical data (older than the actual point), SugiLM1 reconstructs the manifold from all available data.

E depends on the system. A good approximation of E could be the correlation dimension or lyapunov exponents. Also, you could consider E as a hyperparameter, try different values for it and choose the best one.

tau is data dependent. To get tau, it is best to explore different ones and choose the best one for you.

binbin

Thanks for you sharing this codes! But how to get the optimal parameters tau and E? And what's the difference between historical data and all available data?

Thanks for sharing!

What is the difference between the codes

a) SugiLM

and b) SugiLM1

Thanks!

Pony Chen

thanks for your share.

Updates

1.3.0.0

corrected typo in example function

1.3.0.0

.

1.3.0.0

add Sugi (see description)

1.2.0.0

description added

1.2.0.0

+ reference

1.2.0.0

+ algorithm modification

1.1.0.0

+ function CCM

MATLAB Release Compatibility
Created with R2015b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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