Independent coordinates for strange attractors from mutual information

The mutual information I is examined for a model dynamical system and for chaotic data from an experiment on the Belousov-Zhabotinskii reaction. An N logN algorithm for calculating I is presented. As proposed by Shaw, a minimum in I is found to be a good criterion for the choice of time delay in phase-portrait reconstruction from time-series data. This criterion is shown to be far superior to choosing a zero of the autocorrelation function.