Revealing Higher-Order Interactions in High-Dimensional Complex Systems: A Data-Driven Approach

Natural and manmade complex systems are comprised of different elementary units, being either system components or diverse subsystems as in the case of networked systems. These units interact with each other in a possibly nonlinear way, which results in a complex dynamics that is generally dissipative and nonstationary. One of the challenges in the modeling of such systems is the identification of not only pairwise but, more importantly, higher-order interactions, together with their directions and strengths from measured multivariate time series. Here, we propose a novel data-driven approach for characterizing interactions of different orders. Our approach is based on solving a set of linear equations constructed from Kramers-Moyal coefficients derived from statistical moments of N-dimensional multivariate time series. We demonstrate the substantial potential for applications by a data-driven reconstruction of interactions in various multidimensional and networked dynamical systems.