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 test was developed in 2012 by the lab of George Sugihara of the Scripps Institution of Oceanography, La Jolla, California, USA.[3]

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, X. This reconstructed or shadow attractor M_X is diffeomorphic (has a one-to-one mapping) to the true manifold, M. Consequently, if two variables X and Y belong to the same dynamics system, the shadow manifolds M_X and M_Y will also be diffeomorphic (have a one-to-one mapping). Time points that are nearby on the manifold M_X will also be nearby on M_Y. Therefore, the current state of variable Y can be predicted based on M_X.

Cross mapping need not be symmetric. If X forces Y unidirectionally, variable Y will contain information about X, but not vice versa. Consequently, the state of X can be predicted from M_Y, but Y will not be predictable from M_X.

Algorithm

The basic steps of the convergent cross mapping test according to [4]

  1. Create the shadow manifold for X, called M_X
  2. Find the nearest neighbors to a point in the shadow manifold at time t
  3. Create weights using the nearest neighbors (e.g. using K-nearest neighbors algorithm)
  4. Estimate Y using the weights; (this estimate is called Y | M_X )
  5. Compute the correlation between Y and Y | M_X

Applications

References

  1. 1 2 Sugihara, George; et al. (26 October 2012). "Detecting Causality in Complex Ecosystems" (PDF). Science 338 (6106): 496–500. 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. Michael Marshall in New Scientist magazine 2884: Causality test could help preserve the natural world, 28 September 2012
  4. McCracken, James (2014). "Convergent cross-mapping and pairwise asymmetric inference" (PDF). Physical Review E 90.6 (2014). Retrieved 29 April 2016.

External links

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