Time-delay embedding and dimensionality reduction are powerful techniques for discovering effective coordinate systems to represent the dynamics of physical systems. Recently, it has been shown that models identified by dynamic mode decomposition on time-delay coordinates provide linear representations of strongly nonlinear systems, in the so-called Hankel alternative view of Koopman (HAVOK) approach. Curiously, the resulting linear model has a matrix representation that is approximately antisymmetric and tridiagonal; for chaotic systems, there is an additional forcing term in the last component. In this paper, we establish a new theoretical connection between HAVOK and the Frenet–Serret frame from differential geometry, and also develop an improved algorithm to identify more stable and accurate models from less data. In particular, we show that the sub- and super-diagonal entries of the linear model correspond to the intrinsic curvatures in the Frenet–Serret frame. Based on this connection, we modify the algorithm to promote this antisymmetric structure, even in the noisy, low-data limit. We demonstrate this improved modelling procedure on data from several nonlinear synthetic and real-world examples.

A major challenge for causal inference from time-series data is the trade-off between computational feasibility and accuracy. Motivated by process motifs for lagged covariance in an autoregressive model with slow mean-reversion, we propose to infer networks of causal relations via pairwise edge measure (PEMs) that one can easily compute from lagged correlation matrices. Motivated by contributions of process motifs to covariance and lagged variance, we formulate two PEMs that correct for confounding factors and for reverse causation. To demonstrate the performance of our PEMs, we consider network interference from simulations of linear stochastic processes, and we show that our proposed PEMs can infer networks accurately and efficiently. Specifically, for autocorrelated time-series data, our approach achieves accuracies higher than or similar to Granger causality, transfer entropy, and convergent crossmapping-but with much shorter computation time than possible with any of these methods. Our fast and accurate PEMs are easy-to-implement methods for network inference with a clear theoretical underpinning. They provide promising alternatives to current paradigms for the inference of linear models from time-series data, including Granger causality, vector-autoregression, and sparse inverse covariance estimation.