Using curvature to select the time lag for delay reconstruction

We propose a curvature-based approach for choosing a good value for the time-delay parameter τ in delay reconstructions. The idea is based on the effects of the delay on the geometry of the reconstructions. If the delay is too small, the reconstructed dynamics are flattened along the main diagonal of the embedding space; too-large delays, on the other hand, can overfold the dynamics. Calculating the curvature of a two-dimensional delay reconstruction is an effective way to identify these extremes and to find a middle ground between them: both the sharp reversals at the extremes of an insufficiently unfolded reconstruction and the bends in an overfolded one create spikes in the curvature. We operationalize this observation by computing the mean Menger curvature of a trajectory segment on 2D reconstructions as a function of time delay. We show that the minimum of these values gives an effective heuristic for choosing the time delay. In addition, we show that this curvature-based heuristic is useful even in cases where the customary approach, which uses average mutual information, fails-e.g., noisy or filtered data.