A model - independent technique for determining theembedding

The method of lag-embedding, common in the analysis of signals in the context of nonlinear dynamics, requires the selection of an embedding dimension. This embedding dimension is analogous to the model order in a linear prediction model, but the order of a linear prediction model is of little use in characterizing chaotic signals or in indicating an appropriate embedding dimension for nonlinear analysis. Nonlinear prediction models, however, have been successfully used for this purpose. Here, we describe a technique for selecting an appropriate embedding dimension that is motivated by nonlinear prediction, but does not require the speciication of the form of a prediction model.