Convergent cross mapping

Convergent cross mapping (CCM) is a statistical test for a cause-and-effect relationship between two time series variables that, like the Granger causality test, seeks to resolve the problem that correlation does not imply causation.[1][2] While Granger causality is best suited for purely stochastic systems where the influences of the causal variables are separable (independent of each other), CCM is based on the theory of dynamical systems and can be applied to systems where causal variables have synergistic effects. The fundamental idea of this test was first published by Cenys et al. in 1991[3] and used in a series of statistical approaches (see for example,[4][5][6]). It was then further elaborated in 2012 by the lab of George Sugihara of the Scripps Institution of Oceanography.[7]

Theory

Convergent cross mapping is based on Takens' embedding theorem, which states that generically the attractor manifold of a dynamical system can be reconstructed from a single observation variable of the system, ${\displaystyle X}$. This reconstructed or shadow attractor ${\displaystyle M_{X}}$ is diffeomorphic (has a one-to-one mapping) to the true manifold, ${\displaystyle M}$. Consequently, if two variables X and Y belong to the same dynamics system, the shadow manifolds ${\displaystyle M_{X}}$ and ${\displaystyle M_{Y}}$ will also be diffeomorphic. Time points that are nearby on the manifold ${\displaystyle M_{X}}$ will also be nearby on ${\displaystyle M_{Y}}$. Therefore, the current state of variable ${\displaystyle Y}$ can be predicted based on ${\displaystyle M_{X}}$.

Cross mapping need not be symmetric. If ${\displaystyle X}$ forces ${\displaystyle Y}$ unidirectionally, variable ${\displaystyle Y}$ will contain information about ${\displaystyle X}$, but not vice versa. Consequently, the state of ${\displaystyle X}$ can be predicted from ${\displaystyle M_{Y}}$, but ${\displaystyle Y}$ will not be predictable from ${\displaystyle M_{X}}$.

Algorithm

The basic steps of the convergent cross mapping test according to[8]

1. Create the shadow manifold for ${\displaystyle X}$, called ${\displaystyle M_{X}}$
2. Find the nearest neighbors to a point in the shadow manifold at time t
3. Create weights using the nearest neighbors
4. Estimate Y using the weights; (this estimate is called ${\displaystyle Y}$ | ${\displaystyle M_{X}}$ )
5. Compute the correlation between ${\displaystyle Y}$ and ${\displaystyle Y}$ | ${\displaystyle M_{X}}$

Applications

• Demonstrating that the apparent correlation between sardine and anchovy in the California Current is due to shared climate forcing and not direct interaction.[1]

References

1. Sugihara, George; et al. (26 October 2012). "Detecting Causality in Complex Ecosystems" (PDF). Science. 338 (6106): 496–500. Bibcode:2012Sci...338..496S. doi:10.1126/science.1227079. PMID 22997134. Retrieved 5 July 2013.
2. "Cause test could end up in court". New Scientist. 28 September 2012. Opinion. Retrieved 5 July 2013.
3. Čenys, A.; Lasiene, G.; Pyragas, K. (1991). "Estimation of interrelation between chaotic observables". Physica D: Nonlinear Phenomena. Elsevier BV. 52 (2–3): 332–337. doi:10.1016/0167-2789(91)90130-2. ISSN 0167-2789.
4. Schiff, Steven J.; So, Paul; Chang, Taeun; Burke, Robert E.; Sauer, Tim (1996-12-01). "Detecting dynamical interdependence and generalized synchrony through mutual prediction in a neural ensemble". Physical Review E. American Physical Society (APS). 54 (6): 6708–6724. doi:10.1103/physreve.54.6708. ISSN 1063-651X.
5. Arnhold, J.; Grassberger, P.; Lehnertz, K.; Elger, C.E. (1999). "A robust method for detecting interdependences: application to intracranially recorded EEG". Physica D: Nonlinear Phenomena. Elsevier BV. 134 (4): 419–430. doi:10.1016/s0167-2789(99)00140-2. ISSN 0167-2789.
6. Chicharro, Daniel; Andrzejak, Ralph G. (2009-08-27). "Reliable detection of directional couplings using rank statistics". Physical Review E. American Physical Society (APS). 80 (2): 026217. doi:10.1103/physreve.80.026217. hdl:10230/16204. ISSN 1539-3755.
7. Michael Marshall in New Scientist magazine 2884: Causality test could help preserve the natural world, 28 September 2012
8. McCracken, James (2014). "Convergent cross-mapping and pairwise asymmetric inference". Physical Review E. 90 (6): 062903. arXiv:1407.5696. Bibcode:2014PhRvE..90f2903M. doi:10.1103/PhysRevE.90.062903. PMID 25615160.

External links

Animations:

• State Space Reconstruction: Time Series and Dynamic Systems on YouTube
• State Space Reconstruction: Takens' Theorem and Shadow Manifolds on YouTube
• State Space Reconstruction: Convergent Cross Mapping on YouTube