Identifying hidden common causes from bivariate time series: A method using recurrence plots

Abstract

We propose a method for inferring the existence of hidden common causes from observations of bivariate time series. We detect related time series by excessive simultaneous recurrences in the corresponding recurrence plots. We also use a noncoverage property of a recurrence plot by the other to deny the existence of a directional coupling. We apply the proposed method to real wind data.