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One of the most basic characterizations of the relationship between two random variables, X and Y, is the value of their mutual information. Unfortunately, calculating it analytically and estimating it empirically are often stymied by the extremely large dimension of the variables. One might hope to replace such a high-dimensional variable by a smaller one that preserves its relationship with the other. It is well known that either X (or Y) can be replaced by its minimal sufficient statistic about Y (or X) while preserving the mutual information. While intuitively reasonable, it is not obvious or straightforward that both variables can be replaced simultaneously. We demonstrate that this is in fact possible: the information X's minimal sufficient statistic preserves about Y is exactly the information that Y's minimal sufficient statistic preserves about X. We call this procedure information trimming. As an important corollary, we consider the case where one variable is a stochastic process' past and the other its future. In this case, the mutual information is the channel transmission rate between the channel's effective states. That is, the past-future mutual information (the excess entropy) is the amount of information about the future that can be predicted using the past. Translating our result about minimal sufficient statistics, this is equivalent to the mutual information between the forward- and reverse-time causal states of computational mechanics. We close by discussing multivariate extensions to this use of minimal sufficient statistics.

Delay-coordinate reconstruction is a proven modeling strategy for building effective forecasts of nonlinear time series. The first step in this process is the estimation of good values for two parameters, the time delay and the embedding dimension. Many heuristics and strategies have been proposed in the literature for estimating these values. Few, if any, of these methods were developed with forecasting in mind, however, and their results are not optimal for that purpose. Even so, these heuristics-intended for other applications-are routinely used when building delay coordinate reconstruction-based forecast models. In this paper, we propose an alternate strategy for choosing optimal parameter values for forecast methods that are based on delay-coordinate reconstructions. The basic calculation involves maximizing the shared information between each delay vector and the future state of the system. We illustrate the effectiveness of this method on several synthetic and experimental systems, showing that this metric can be calculated quickly and reliably from a relatively short time series, and that it provides a direct indication of how well a near-neighbor based forecasting method will work on a given delay reconstruction of that time series. This allows a practitioner to choose reconstruction parameters that avoid any pathologies, regardless of the underlying mechanism, and maximize the predictive information contained in the reconstruction.

Modeling a temporal process as if it is Markovian assumes that the present encodes all of a process's history. When this occurs, the present captures all of the dependency between past and future. We recently showed that if one randomly samples in the space of structured processes, this is almost never the case. So, how does the Markov failure come about? That is, how do individual measurements fail to encode the past? and How many are needed to capture dependencies between the past and future? Here, we investigate how much information can be shared between the past and the future but not reflected in the present. We quantify this elusive information, give explicit calculational methods, and outline the consequences, the most important of which is that when the present hides past-future correlation or dependency we must move beyond sequence-based statistics and build state-based models.