Physica D 225 (2007) 29–42

www.elsevier.com/locate/physd

Measuring synchronization in coupled model systems: A comparison of

different approaches
Thomas Kreuz a,b,c,∗ , Florian Mormann c,d , Ralph G. Andrzejak b,e , Alexander Kraskov b,d ,
Klaus Lehnertz c,f , Peter Grassberger b
a Istituto dei Sistemi Complessi - CNR, Firenze, Italy
b John-von-Neumann Institute for Computing, Research Center Jülich, Germany
c Department of Epileptology, University of Bonn, Germany
d California Institute of Technology, Division of Biology, Pasadena, USA
e Departament de Tecnologia, Universitat Pompeu Fabra, Barcelona, Spain
f Helmholtz Institute for Radiation and Nuclear Physics, University of Bonn, Germany

Received 8 February 2006; received in revised form 14 September 2006; accepted 25 September 2006
Available online 17 November 2006
Communicated by R. Roy

Abstract

The investigation of synchronization phenomena on measured experimental data such as biological time series has recently become an
increasing focus of interest. Different approaches for measuring synchronization have been proposed that rely on certain characteristic features
of the dynamical system under investigation. For experimental data the underlying dynamics are usually not completely known, therefore it is
difficult to decide a priori which synchronization measure is most suitable for an analysis. In this study we use three different coupled model
systems to create a ‘controlled’ setting for a comparison of six different measures of synchronization. All measures are compared to each other
with respect to their ability to distinguish between different levels of coupling and their robustness against noise. Results show that the measure
to be applied to a certain task can not be chosen according to a fixed criterion but rather pragmatically as the measure which most reliably yields
plausible information in test applications, although certain dynamical features of a system under investigation (e.g., power spectra, dimension)
may render certain measures more suitable than others.
c 2006 Elsevier B.V. All rights reserved.

Keywords: Nonlinear time series analysis; Synchronization; Coupled model systems

1. Introduction oscillators [2–5]. Since the definition of chaos implies the

Synchronization between dynamical systems has been an
active field of research in many scientific and technical
disciplines since the first description of this phenomenon in the
seventeenth century [1]. Starting in the 1980s and following the
development of the theory of deterministic chaos, the notion of
synchronization was extended to the case of interacting chaotic
∗ Corresponding address: Istituto dei Sistemi Complessi - CNR, Via
Madonna del Piano 10, 50019 Firenze, Italy. Tel.: +39 055 5226626; fax: +39
055 5226683.
E-mail address: thomas.kreuz@fi.isc.cnr.it (T. Kreuz).
rapid decorrelation of nearby orbits due to their high sensitivity
on initial conditions, synchronization of two coupled chaotic
systems is a rather counter-intuitive phenomenon. Thus the
study of synchronization phenomena in chaotic systems has
been a topic of increasing interest since the early 1990s (for an
overview cf. Ref. [6]). A great deal of attention has been paid
to identifying certain regimes of synchronization in coupled
identical or non-identical systems with varying parameters
(e.g., different frequency mismatches or an increasing coupling
strength).
Since synchronization phenomena can manifest themselves
in many different ways, various concepts for their description

c 2006 Elsevier B.V. All rights reserved.

0167-2789/$ - see front matter

doi:10.1016/j.physd.2006.09.039
30 T. Kreuz et al. / Physica D 225 (2007) 29–42
have been proposed. The simplest case of complete synchro-
nization can be attained if identical systems are coupled suf-
ficiently strongly so that their states coincide after transients
have died out [2,3]. Phase synchronization, first described for
chaotic oscillators [7–9], is defined as the global entrainment of
phases, whereas the exact phase differences and the amplitudes
remain chaotic and, in general, weakly correlated. The concept
of generalized synchronization, introduced for uni-directionally
coupled systems [4,10,11], denotes the presence of some func-
tional relation between the states of responder and driver. Since
this function does not have to be the identity, generalized syn-
chronization is already a rather weak criterion, but it is still sur-
passed by the notion of interdependence [12] where the map-
ping of local neighborhoods in the first system onto local neigh-
borhoods in the second system is exploited as the quantifying
criterion. Various methods exist for the detection of the different
types of synchronization. Complete synchronization can be rec-
ognized by plotting a component of the driver versus the respec-
tive component of the responder while phase synchronization
can be identified by a vanishing mean frequency difference [7].
To verify the existence of generalized synchronization in unidi-
rectionally driven systems, the negativeness of the largest Lya-
punov exponent of the responder is usually employed [5].
Corresponding to this variety of concepts and complement-
ing the respective methods of synchronization detection many
different approaches have been proposed aiming at a quantifi-
cation of the degree of synchronization between two systems on
a continuous scale. These approaches comprise linear ones like
the cross correlation or the coherence function as well as es-
sentially non-linear measures like mutual information [13] and
transfer entropy [14]. Furthermore, different indices of phase
synchronization have been introduced [15–18]. Here the in-
stantaneous phases are extracted from the time series by us-
ing e.g. the Hilbert transform [7] or the wavelet transform [19].
Topological approaches to quantify generalized synchroniza-
tion include the method of mutual false nearest neighbors [10]
and the index based on non-linear mutual predictions [20] as
well as the non-linear interdependencies [12], the synchroniza-
tion likelihood [21] and the predictability improvement [22]. Fi-
nally, event synchronization [23] quantifies the overall level of
synchronicity from the number of quasi-simultaneous appear-
ances of certain predefined events. While most of these mea-
sures are designed to estimate only the degree of synchroniza-
tion between two systems, some of these measures are intended
to also reveal possible directionalities between them and thus to
detect driver–responder relationships. This aspect of direction-
ality has already been addressed in Refs. [14,24–27], a com-
parison of different directionality approaches is not part of the
present study, but can be found in Ref. [28].
Investigations on model systems are typically carried out
by analyzing long and noise-free time series (typically of
the order of 105 data points or more). Only rarely has the
dependence between coupled model systems been evaluated by
applying bivariate measures to short time series (of the order of
103 data points) that are typically found in field applications.
If at all, almost exclusively a single approach to measure
synchronization has been used. Examples of investigations
on phase synchronization include Refs. [15–18,29,30], while
approaches to characterize generalized synchronization have
been studied in Refs. [10,20,21,24,31,32]. A comprehensive
comparison of different approaches applied to different coupled
model systems in a ‘controlled’ setting is still missing and is
thus the aim of the present study. Note that it is beyond the
scope of this study to give a comprehensive characterization of
the coupled model system in terms of their dynamic regimes
of synchronization or their bifurcations and transitions. Rather
we are aiming to use their controlled setting (due to the given
equations of motion we are able to calculate the dependence
of the largest Lyapunov exponent on the coupling strength)
as a validation for judging the performance of the different
measures.
In our analysis six measures of synchronization are applied
to time series (length N = 4096) of three coupled model
systems with different individual properties (e.g., power
spectra, dimension). However, all show a rather monotonic
dependence of the Lyapunov exponent on the coupling strength.
Note that this is not necessarily the case for other systems but
we deliberately chose systems with such monotonic behavior
in order to provide a controlled setting. Model systems
comprise coupled Hénon maps as well as coupled Rössler
and coupled Lorenz systems. Applied measures are composed
of symmetric ones like the maximum linear cross correlation
Cmax , the mutual information I , and two different indices of
phase synchronization γ H ∗ and γ W ∗ (where the phase of the
time series is extracted by using the Hilbert or the wavelet
transform, respectively) as well as symmetrized variants of
the asymmetric measures non-linear interdependence S and
event synchronization Q ∗ . Using the coupling strength as the
first control parameter, it is tested to what extent the different
measures are able to distinguish different degrees of coupling.
This is essential in many field applications since rarely is the
absolute value of synchronization of interest, but rather the
change of synchronization between different states, times, or
recording sites. The signal-to-noise ratio is used as a second
parameter to investigate whether the results of the different
measures are robust against contaminations with noise. This
is another important aspect for choosing the most suitable
measure for an application to field data (e.g. of medical
origin). Finally, to assess the perspective of a combined use
of different approaches to quantify synchronization, the degree
of redundance between the different measures is evaluated by
means of a correlation analysis.
The remainder of the paper is organized as follows: The
statistical evaluation designed to compare these measures is
described in Section 2.1, the methodology for the correlation
analysis is outlined in Section 2.2. Results on the measures’
capability to reflect the strength of coupling, their robustness
against noise and their mutual correlations are presented in
Sections 3.1, 3.2, 3.3, respectively. Conclusions are drawn in
Section 4. Finally, in Appendix A the coupling schemes and the
underlying model systems are introduced, while the measures
of synchronization and their implementation are described in
Appendix B.
 T. Kreuz et al. / Physica D 225 (2007) 29–42
2. Methods
2.1. Criterion for comparing different measures
To compare the different measures of synchronization in
terms of their capability to distinguish between different
degrees of coupling, an indicator was designed to yield
maximum values for those measures for which higher values
are obtained for higher coupling strengths. For every model
system each measure of synchronization s was estimated at
r = 81 monotonously increasing coupling strengths, resulting
in values si , i = 1, . . . , r . If s depends monotonically on the
coupling strength, then si ≤ s j for i ≤ j. To detect deviations
from this, we defined the degree of monotonicity
r −1 Xr
2 X
M(s) = sign(s j − si ). (1)
r (r − 1) i=1 j=i+1
It attains the value M(s) = 1 for a strictly monotonically
increasing sequence (s1 , . . . , sr ), while it renders −1 for a
monotonically decreasing sequence. On the other hand, M(s)
is not affected by the absolute values of si or by the way
(s1 , . . . , sr ) increases (e.g., polynomial in i or exponential).
To evaluate the robustness against noise of the different
measures the noise-to-signal ratio, defined as R = σnoise /σsignal
(with σnoise and σsignal denoting the standard deviations of
noise and signal, respectively), was used as a second control
parameter. For each coupled model system and every coupling
strength, this noise-to-signal ratio was increased according to
R = 10−2+q∗0.1 with q = 0, . . . , 30, (2)
thereby covering the range from −0.01 to 10 equidistantly on a
logarithmic scale. For each R value, the coupled model system
was separately superimposed with 10 different realizations of
Gaussian white noise as well as 10 different realizations of iso-
spectral noise (the latter generated via randomizing the Fourier
phases of the original time series). Subsequently, for every
type of noise and each measure of synchronization the mean
value over 10 different noise realizations and 10 different initial
conditions of the coupled systems was calculated.
The dependence of the degree of monotonicity M on the
noise-to-signal ratio was used to quantify the degree to which
the monotonicity in the absence of noise is destroyed by
increasing noise. The critical noise-to-signal ratio RC was
defined as the noise-to-signal ratio for
√ which the monotonicity
M for the first time falls below 1/ 2 of the value obtained
without noise. In the special case where such a value does
not exist, RC was set to a value above the maximum noise
level analyzed. This way the critical noise-to-signal ratio of a
measure reflects its robustness against noise.
2.2. Correlations between the different measures
To investigate to what extent the different measures
of synchronization carry independent and non-redundant
information, a correlation analysis was performed. In a first step
a dataset of length 3 ∗ 81 ∗ 32 = 7776 data points was created
for each measure by sampling the results from all three systems
31
contaminated with the whole range of different levels of white
noise, i.e., 81 different coupling strengths with 32 different
noise levels (including the noise-free case). The resulting six
datasets were first arcsin-transformed to fit the condition of
normality [33], then the Pearson correlation coefficients were
determined [34].
3. Results
3.1. Dependence on coupling strength
In Fig. 1 the dependence of six representative measures
of synchronization on the coupling strength C between two
identical Hénon systems (cf. Appendix A.1) is shown along
with the maximum Lyapunov exponent of the responder
system (cf. Ref. [24]). The latter attains negative values for
couplings larger than 0.7, when generalized synchronization
between the systems takes place finally leading into identical
synchronization (cf. Fig. 13). In the regime 0.47 < C < 0.52 it
is also slightly negative indicating generalized synchronization.
This behavior is reflected by all measures showing higher
degrees of synchronization with increasing coupling strength.
While this is quite consistent among measures, considerable
differences are found regarding their monotony and their
sensitivity for weak couplings. The dependence on the coupling
strength is rather monotonic for most measures, only for
the wavelet phase circular variance large fluctuations can be
observed (reflecting that γ W ∗ cannot be sufficiently adapted to
the broad frequency spectrum of the Hénon systems). For this
measure quite high values are obtained already for uncoupled
or only weakly coupled Hénon systems. Among the remaining
measures event synchronization Q ∗ , cross correlation Cmax and
the Hilbert phase circular variance γ H ∗ rise more gradually
while the nonlinear interdependence S and mutual information
I exhibit a rather steep increase for high coupling strengths.
For the coupled Rössler systems (cf. Appendix A.2) the
maximum Lyapunov exponent of the responder system crosses
zero already at a very weak coupling and continues to decrease
rather monotonically (Fig. 2). All measures consistently show
an increase of synchronization for higher coupling strengths.
The increases of γ H ∗ and Cmax are the steepest. These
measures show a ceiling effect already for low values of the
coupling strength. Among the gradually increasing measures
γ W ∗ shows less fluctuations than S and I . Finally, event
synchronization starts to increase at intermediate coupling
strengths only and even exhibits slightly negative values before.
This effect can be explained by the periodicity of the Rössler
system (resulting in sparse events) and the frequency mismatch
introduced. For low coupling strengths the maxima and minima
of the one time series always lag a little behind with respect
to the other and are thus not captured as synchronous events.
On the contrary, due to the only slowly varying time lag there
are even less coincidences than could be expected for random
distributions of events and thus event anti-synchronization can
be observed.
For the coupled Lorenz systems (cf. Appendix A.3) the
maximum Lyapunov exponent of the responder system shows
more fluctuations than for the other systems (Fig. 3). The
32 T. Kreuz et al. / Physica D 225 (2007) 29–42
Fig. 1. Dependence on the coupling strength for six measures of
synchronization applied to coupled Hénon systems without noise: Cross
correlation Cmax , mutual information I , Hilbert phase circular variance γ H ∗ ,
wavelet phase circular variance γ W ∗ , nonlinear interdependence S, event
synchronization Q ∗ . The maximum Lyapunov exponent of the responder
system is depicted by the thick black line. Dotted vertical lines mark its zero
crossings.
Fig. 2. Same as Fig. 1, but this time for the coupled Rössler systems.
change of sign takes place at an intermediate coupling strength
C = 1.45. This transition is consistently seen as an increase
of synchronization. However, fluctuations are quite large for all
measures and half of the measures (Cmax , γ H ∗ and γ W ∗ ) show
an increased level of synchronization already for uncoupled
systems.
In the next step these qualitative results are quantified by
means of the degree of monotonicity M (Fig. 4). This differs
considerably, both among measures as well as among systems.
When comparing the different measures, the highest values
of monotonicity are obtained for nonlinear interdependence,
mutual information and cross correlation. Regarding the
different model systems it turns out that the highest values are
yielded either for the coupled Hénon systems or the coupled
Rössler systems but never for the coupled Lorenz systems. This
is due to the fluctuations of the measures seen already in Fig. 3.
3.2. Robustness against noise
The dependence on the noise-to-signal ratio is displayed
in Fig. 5 for the coupled Hénon systems contaminated by
Gaussian white noise. For all measures the increase of
Fig. 3. Same as Fig. 1, but this time for the coupled Lorenz systems.
Fig. 4. Over-all comparison for the case of noise-free model systems:
Monotonicity M for each measure and every system. In the last column for
each model system the mean value over measures is displayed.
the noise-to-signal ratio leads to a gradual masking of the
dependence on the coupling strength. For the maximum noise-
to-signal ratio R = 10 all measures attain rather constant values
close to the levels obtained for uncoupled systems without
noise. At maximum coupling C = 0.8, distinct differences are
observed in the way different measures depend on the noise
level. While cross correlation Cmax , event synchronization Q ∗
and the Hilbert phase circular variance γ H ∗ maintain high
values up to intermediate ranges of the noise-to-signal ratio,
mutual information I and the nonlinear interdependence S
rather lose their discriminative power even at low noise levels.
The wavelet phase circular variance γ W ∗ ranks between these
extremes. Furthermore, this measure shows the highest amount
of fluctuation.
In the case of coupled Rössler systems, for all measures a
decrease of value with increasing noise-to-signal ratio can be
observed, again gradually for some measures (Cmax and γ H ∗ )
and more abrupt for the others (Fig. 6). For the highest amount
of noise, a constant level independent of the coupling strength
is obtained for each measure. This level is of the same order as
the values obtained for uncoupled systems without noise. Again
an additional effect can be observed for event synchronization.
Here the event anti-synchronization observed for the noise-free
case in Fig. 2 remains only for low coupling strengths and very
low noise. With increasing noise more and more events occur
 T. Kreuz et al. / Physica D 225 (2007) 29–42 33

Fig. 5. Coupled Hénon systems: Color-coded dependence on the coupling strength and the noise-to-signal ratio for Gaussian white noise: (a) cross correlation
Cmax , (b) mutual information I , (c) Hilbert phase circular variance γ H ∗ , (d) wavelet phase circular variance γ W ∗ , (e) nonlinear interdependence S, (f) event
synchronization Q ∗ . For each measure the case of noise-free systems (R = 0) is plotted beyond the smallest noise-to-signal ratio R = 0.01.

Fig. 6. Same as Fig. 5, but this time for the coupled Rössler systems.

which allow a better tracing of the synchronization. This effect
is reminiscent of the phenomenon of stochastic resonance [35]
where the optimal signal detection is achieved for intermediate
noise levels. Apart from this effect, the behavior obtained for
the coupled Lorenz systems (Fig. 7) is very similar with the
only difference being that here also the higher fluctuations that
can be observed in the dependence on the coupling strength (cf.
Fig. 3) disappear for higher noise-to-signal ratios.
In order to compare the different measures quantitatively,
again the degree of monotonicity M is used. This allows one
34 T. Kreuz et al. / Physica D 225 (2007) 29–42

Fig. 7. Same as Fig. 5, but this time for the coupled Lorenz systems.

Fig. 8. Coupled Hénon systems: Dependence of the degree of monotonicity M

(normalized to the noise-free case, cf. Fig. 4) on the noise-to-signal ratio. The
√ Critical noise level RC for each measure and every system. In the last column
dashed red line marks the threshold value Mn∗ = 1/ 2. Also in this plot the
case of noise-free systems is depicted below the smallest noise-to-signal ratio
R = 0.01. Vertical lines indicate the critical noise-to-signal ratios RC of the
respective measure.
to track how the monotonicity obtained for noise-free systems
is destroyed with increasing noise-to-signal ratio. As can be
seen exemplarily for the coupled Hénon systems (Fig. 8) for
most measures these degrees of monotonicity are maintained
for lower amounts of noise. Due to statistical fluctuations
some measures even exhibit a slight rise in monotonicity,
and maximum values are obtained for intermediate noise-to-
signal ratios. But above a certain level of noise, a decrease
of monotonicity can be observed for all measures. However,
the measures with the highest initial monotonicity do not
necessarily prove to be most robust as can be seen for mutual
information I and the nonlinear interdependence S (see also
Refs. [12,24] and the discussions therein). These measures were
most monotonous in the absence of noise (cf. Fig. 4) but this
Fig. 9. Over-all comparison for model systems contaminated with white noise:
for each model system the mean value over measures is displayed.
monotonicity starts to vanish already for intermediate noise
levels. Finally, they give very low values of monotonicity for
strong noise.
To compare the robustness of the different measures,
for each measure the critical noise-to-signal ratio RC was
determined as the lowest R for which the normalized√profiles
of monotonicity cross the threshold Mn∗ = 1/ 2 (cf.
Fig. 8). Highest robustness is obtained for cross correlation
(Fig. 9). As for the different model systems, the monotonicity
obtained for the coupled Lorenz systems without noise proves
to be most robust followed by the Hénon and the Rössler
systems. Regarding the opposite ranking in the noise-free case
(cf. Fig. 4), it seems that the more monotonous a system has
been without noise, the less noise is necessary to destroy this
monotonicity.
 T. Kreuz et al. / Physica D 225 (2007) 29–42 35

Fig. 10. Over-all comparison for model systems contaminated with iso-spectral
noise: Critical noise level RC for each measure and every system. If the
threshold Mn∗ is not crossed, RC is set to a value beyond the maximum noise-
to-signal ratio.

For iso-spectral noise the same ranking is obtained for

the different systems as in the case of white noise (Fig. 10).
But here for certain measures and coupling schemes M never
decreases below the critical threshold, i.e., the monotonicity of
the noise-free case is not destroyed when the coupled systems
are contaminated with noise. For the Hénon systems in these
cases the dependence on the noise-to-signal ratio is maintained
or only slightly weakened, but for the coupled Rössler and
Lorenz systems a new effect can be observed (Fig. 11). In
particular for the nonlinear interdependence S the level of
synchronization obtained for high coupling strengths initially
decreases with the addition of noise but then rises again for
high values of R. In these cases a (spurious) synchronization
between the contaminating noise-signals can be observed.
Fig. 12. Correlation coefficients between the six measures of synchronization.
3.3. Correlations between the measures
In order to analyze to what extent the six different
measures of synchronization carry independent and non-
redundant information, a correlation analysis was performed
(Fig. 12). Since the number of independent observations can
hardly be estimated, this is a purely relative examination. For
this reason no values of significance are given.
While highest correlations were obtained for cross correla-
tion and Hilbert phase synchronization, event synchronization
and the non-linear interdependence S appeared least correlated.
It might surprise that the correlation coefficient between the two

Fig. 11. Same as Fig. 5, but this time for the coupled Lorenz systems and iso-spectral noise.
36 T. Kreuz et al. / Physica D 225 (2007) 29–42
measures of phase synchronization is rather low. This can be
explained by the different frequency sensitivity for the broad-
banded Hénon system. For both of the much more narrow-
banded Rössler and Lorenz systems this combination of mea-
sures actually yielded the maximum correlation coefficient (re-
sults not shown here).
4. Discussion
The aim of this study was to perform a comparison of
different measures of synchronization on model systems to
help to decide which measure may be most suitable for an
application to field data. To this end we compared different
measures regarding their capability to reflect different degrees
of coupling between two model systems both in the presence
and absence of noise. The dependence on the coupling strength
was evaluated using the degree of monotonicity M.
It should be noted that there are some caveats in this
evaluation since this approach is built on some simplifying
assumptions. One fundamental assumption is that an increase
of coupling necessarily leads to an increase of synchronization.
However, the different systems investigated in this study exhibit
very different behaviors in their transition to synchronization
with increasing coupling strength and the Lyapunov exponent
is not always strictly monotonic (cf. Figs. 1–3). But since
the adjustable parameter is the coupling strength and not the
Lyapunov exponent, the alternative possibility to test whether
the measures of synchronization reflect the course of the
Lyapunov exponent (instead of the coupling strength) is not
pragmatic. Furthermore, this difficulty is also reminiscent of the
case of field data where the true effects of coupling are rarely
known.
A second assumption is that this relation should hold for
all types of synchronization no matter which model systems
are investigated and which coupling schemes are employed.
It is possible to construct examples in which only one
type of synchronization takes place while the other types
do not occur at all (see also the discussion on generalized
synchronization versus phase synchronization [28,36,37]). In
such cases measures designed to detect different types of
synchronization are expected to behave differently. Thus this
second assumption does not hold in general.
Due to these peculiarities in the analysis of model systems
it seems that the notion of a ‘controlled’ setting is valid only to
the extent to which these peculiarities do not affect the course
of the maximum Lyapunov exponent. Although in general
the coupling strength was reflected by the different measures
(as tracked by the degree of monotonicity M), a careful
examination of the underlying processes of interaction seems to
be mandatory when analyzing field data. Thus for such data the
question of which measure is best suited to distinguish different
levels of synchronization cannot be answered in general. This
is in agreement with the results reported in Ref. [28].
But even if the underlying assumptions do not hold
rigorously, the quantity M still proves useful as a means to
reduce information since it compresses the dependence on
the coupling strength into a single value. The crucial point
is the interpretation of a low value of M indicating a non-
monotonic course. Is such a value due to a failure of the
measure to distinguish between different levels of coupling, or
does the measure correctly reflect certain peculiarities in the
systems’ transition to synchronization? Most of all, such a value
should encourage a more careful investigation of the system’s
dependence on the coupling strength.
Despite the caveats in the first part of this study, the
application of the degree of monotonicity in the second part
remained unaffected. Given the monotonicity without noise,
M served as an appropriate means to track the changing of
this monotonicity due to the additive noise. Using a threshold
criterion designed to quantify the robustness against noise, first
the influence of Gaussian white noise was evaluated. Again
robustness was dependent on the system under investigation.
The least robust results were obtained for systems with high
monotonicity in the absence of noise. As for the comparison of
the different measures, all measures proved to be rather robust
against white noise. Slight advantages were observed for the
linear cross correlation.
Concerning iso-spectral noise, for some model systems
and some measures a (spurious) synchronization between
the contaminating noise signals could be observed. This can
be explained by the narrowness of the power spectrum of
the respective systems, which is maintained in the added
noise signals by construction. In the case of strong coupling,
the peaks in the power spectrum of the coupled systems
(and thus those of the noise signals as well) align at the
same frequency [36]. For low levels of noise, this causes
synchronization of the coupled signals, for high levels of noise
(spurious) synchronization between the noise signals can be
detected. In the coupling regimes investigated here this was
most prominently observed for the nonlinear interdependence.
The comparison of the different measures for phase
synchronization based on either the Hilbert transform or the
wavelet transform, respectively, shows that both methods seem
to be more or less equally suitable for the characterization of
narrow-band systems like the Rössler and the Lorenz system.
However, for broad-band systems like the Hénon system
Hilbert phase based synchronization measures appear superior.
This is remarkable since it has been argued that the Hilbert
phase measures should be applied only to systems with a
narrow-band power spectrum or after band-pass filtering [38].
To summarize, the question which measure is best suited for
an application to field data (e.g., of medical origin) can not be
answered in general. Regarding the capability to distinguish
different coupling strengths, due to the individual properties
and peculiarities of every system, an obvious and objective
criterion to judge different measures exists only for some
special cases (e.g., wavelet phase is not very suitable for a
system with a broadband spectrum). However, the robustness
against noise is not the same for all measures. Thus the measure
should be chosen according to the quality and type of data.
On the other hand, in most cases the measure to be applied
to a certain task can be chosen rather pragmatically as the
measure which most reliably yields valuable information (e.g.,
information useful for diagnostic purposes) in test applications.
 T. Kreuz et al. / Physica D 225 (2007) 29–42 37

In many cases even a combination of different appropriately
chosen measures might be reasonable, since, as reflected by
the correlation analysis, different measures capture different
aspects of the dynamics.
Acknowledgments
parameter mismatch between the two systems was introduced
by setting ωx = 0.95 and ω y = 1.05. The coupling strength
C was varied from 0 to 2 in steps of 0.025. In Fig. 14 a
clear tendency towards the identity of the two attractors can
be observed (although complete synchronization will never be
reached due to the parameter mismatch).

Many thanks to R. Quian Quiroga for useful discussions. A.3. Coupled Lorenz systems
T.K. acknowledges support from the EU Marie Curie Human
Resources and Mobility Activity, R.G.A. from the Alexander For the two Lorenz systems the same diffusive coupling
von Humboldt Foundation, F.M. intramural funding from scheme as for the Rössler systems was used. The equations of
BONFOR. T.K., F.M., K.L. and P.G. acknowledge support from motion of this coupling scheme read:
the Deutsche Forschungsgemeinschaft [SFB TR3].
x˙1 = 10(x2 − x1 )
Appendix A. Coupling schemes x˙2 = x1 (28 − x3 ) − x2
8
For the Hénon and the Rössler model system the x˙3 = x1 x2 − x3
3
synchronization between the first components (i.e., x1 and y1 ) y˙1 = 10(y2 − y1 )
was analyzed, only for the Lorenz system were the third
y˙2 = y1 (28.001 − y3 ) − y2
components used.
8
y˙3 = y1 y2 − y3 + C(x3 − y3 ). (A.3)
A.1. Coupled Hénon systems 3
The equations were integrated using Runge–Kutta 4th order
The first coupling scheme consists of two unidirectionally
with a step size of 0.001 and a sampling interval of 0.01.
coupled Hénon maps and was proposed in Ref. [20] and later
Note the small parameter mismatch introduced in the second
also analyzed in Refs. [21,24,39]. The equations of motion for
component. The coupling strength C was varied from 0 to 2 in
the driver and the responder read
steps of 0.025. For the Lorenz systems the transition towards a
2 synchronized state takes place for C around 1.35 (Fig. 15).
x1,n+1 = 1.4 − x1,n + bx x2,n
x2,n+1 = x1,n ,
Appendix B. Measures of synchronization
y1,n+1 = 1.4 − (C x1,n y1,n + (1 − C)y1,n
2
) + b y y2,n
y2,n+1 = y1,n . (A.1) In the following xn and yn (n = 1, . . . , N ) will denote two
simultaneously measured discrete time series of length N from
The parameters were set to bx = b y = 0.3 to yield identical two different systems X and Y , while xn and yn will denote
systems. The coupling strength C was varied from 0 to 0.8 in state vectors obtained by delay embedding. In order to avoid
steps of 0.01. edge effects for the measures of phase synchronization, phases
The attractor of the responder looks the same for C = 0 were calculated from time series of length 8192. Then both
and C = 0.8 (Fig. 13, top), but while for C = 0 driver and for the phases and the time series the first and the last quarter
responder are completely independent (the apparent structure were discarded leaving N = 4096 data points in the middle for
in the lower plot is due to the non-uniform densities of the the analysis. Furthermore, all time series were normalized to
individual systems), identical synchronization between driver zero mean and unit variance, and all formulas were simplified
and responder can be observed for C = 0.8 (Fig. 13, bottom). accordingly.
In between a rather sharp transition around C = 0.7 takes place. The system-dependent parameters and their respective
values are listed in Table 1. If possible, parameter values were
A.2. Coupled Rössler systems
chosen according to earlier studies (e.g., Refs. [24,26]). As
an additional measure of reference the conditional Lyapunov
For the two Rössler systems a unidirectional diffusive
exponents [5,40] were calculated.
coupling was employed [18,28,29,37]:
x˙1 = −ωx x2 − x3 B.1. Linear cross correlation
x˙2 = ωx x1 + 0.15x2
The simplest and most commonly used measure of
x˙3 = 0.2 + x3 (x1 − 10) synchronization is the cross correlation defined in the time
y˙1 = −ω y y2 − y3 + C(x1 − y1 ) domain as a function of the time lag τ = −(N − 1),
y˙2 = ω y y1 + 0.15y2 . . . , 0, . . . , N − 1:
= 0.2 + y3 (y1 − 10).

y˙3 (A.2) N −τ
 1 X
xn+τ yn τ ≥ 0

The equations were integrated using Runge–Kutta 4th order C X Y (τ ) = N − τ (B.1)
n=1
CY X (−τ ) τ < 0.

with a step size of 0.05 and a sampling interval of 0.3. A 
38 T. Kreuz et al. / Physica D 225 (2007) 29–42

Fig. 13. Coupled identical Hénon maps for different coupling strengths C: (a) 0.0, (b) 0.6, (c) 0.7, (d) 0.8. For each coupling strength the attractor of the responder
is depicted at the top, whereas below the first component of the driver is plotted versus the first component of the responder.

Fig. 14. Coupled Rössler systems for different coupling strengths C: (a) 0.0, (b) 0.5, (c) 1.0, (d) 2.0. For each coupling strength the attractor of the responder
(projection on the first and the second component) is depicted at the top, whereas below the first component of the driver is plotted versus the first component of the
responder.

Fig. 15. Coupled Lorenz systems for different coupling strengths C: (a) 0.0, (b) 1.16, (c) 1.35, (d) 2.0. For each coupling strength the attractor of the responder
(projection on the first and the third component) is depicted at the top, whereas below the first component of the driver is plotted versus the first component of the
responder.

The cross correlation is obtained by normalizing the cross synchronization) to one (in-phase synchronization), while
covariance and thus ranges from minus one (anti-phase values close to zero are attained for linearly independent
 T. Kreuz et al. / Physica D 225 (2007) 29–42
Table 1
Parameters for the application of the measures to the different coupled model
systems: Sampling rate R S , center frequency ωc , number of cycles n c ,
embedding dimension m, time delay d
Para Hénon–Hénon Rössler–Rössler Lorenz–Lorenz
RS 1 3.33 100
ωc 0.45 1 2
nc 1 3 1 possible scale are resolved), adaptive (the resolution is adjusted
m 3 5 5
d 1 5 5
systems. The first measure used in this study is the maximum
cross correlation which is symmetric in X and Y :
Cmax = max{|C X Y (τ )|}.
τ
B.2. Mutual information
In contrast to the linear cross correlation, mutual information
quantifies also non-linear dependencies. As a measure derived
from information theory [13,41] it is based on the Shannon
entropy and therefore allows a straightforward interpretation.
After binning the state spaces of two systems X and Y and
denoting by px (i) [ p y ( j)] the weight of the i-th [ j-th] bin in
X -space [Y -space], the mutual information is defined as
I (X, Y ) = H (X ) + H (Y ) − H (X, Y )
with H (X ) and H (Y ) denoting the Shannon entropies of
the respective marginal distributions px (i), p y ( j) with i =
1, . . . , Mx , j = 1, . . . , M y , e.g.,
Mx
X
H (X ) = − px (i) log px (i)
i=1
and H (X, Y ) denoting the Shannon entropy of the joint
distribution px y (i, j), i.e.,
M
X accordingly there is no corresponding zero Lyapunov exponent
H (X, Y ) = − px y (i, j) log px y (i, j).
i, j
The Shannon entropies would diverge for vanishing bin size
and continuous X , whereas this limit is finite for I (X, Y ). In
this limit I (X, Y ) becomes an integral over densities. Mutual
information quantifies the amount of information of X obtained
by knowing Y and vice versa. When taking the logarithms with
base 2, it is measured in bits. Mutual information is zero if and
only if the two time series are independent, while it attains pos-
itive values with a maximum of I (X, X ) = H (X ) for identical
signals. It is symmetric in X and Y , i.e., I (X, Y ) = I (Y, X ).
The easiest and most widespread approach for estimating
mutual information from two time series x and y consists in
partitioning their supports into bins of finite size and counting
the numbers n x (i) and n y ( j) of points falling into the various
bins. More sophisticated estimators [42,43] use adaptive instead
of fixed bin sizes to obtain approximately equal numbers n(i, j)
in all non-empty joint bins (i, j). Still these estimates suffer
from systematic errors although these can be reduced when
using appropriate finite size corrections [44,45].
39
In this study an improved estimate of mutual information
([46], based on considerations in Ref. [47]) is used. It does not
use a fixed neighborhood size, but instead is based on entropy
estimates from k-nearest neighbor distances. It uses adaptive
(hyper-)cubes whose size is locally adapted in the joint space
and then kept equal in the marginal subspaces. This estimate is
very data efficient (for k = 1 structures down to the smallest
according to the local data density), and has minimal bias [46].
It reads
I (X, Y ) = ψ(k) − hψ(n x + 1) + ψ(n y + 1)i + ψ(N ) (B.6)
for any integer k ∈ [1, . . . , N ]. Here, ψ(x) is the digamma
function defined as ψ(x) = 0(x)−1 d0(x)/dx. It can easily be
(B.2) calculated using the recursion ψ(x + 1) = ψ(x) + 1/x and
ψ(1) = −E with E = 0.5772156 . . . the Euler–Mascheroni
constant. For large x, ψ(x) ≈ log x − 1/2x holds.
In this paper mutual information was estimated for
all coupled model systems without embedding (embedding
dimension m = 1, no time delay d needed) and with the number
of nearest neighbors set to k = 4. For the sake of comparability
with the other measures for each system it was normalized to
its maximum value.
This algorithm could also be employed to calculate transfer
entropy [14], since this measure can be expressed as a
(B.3) difference of two mutual informations. However, transfer
entropy is not a measure of synchronization in a strict sense,
since it attains the value 0 for identical systems (no information
transfer), and therefore it was not used in this study.
B.3. Phase synchronization
(B.4) The first step in quantifying phase synchronization between
two time series x and y is to determine their phases φx (t)
and φ y (t). Note that in the case of discrete maps (such as the
Hénon map) there exists no interpolation to a quasi-continuous
scale (like for flows using decreasing integration steps) and
(B.5) (cf. Ref. [48]). However, the fact that you can not interpolate
the Hénon system is not evident just given the time series and
so the instantaneous phase can still be estimated from the time
series in a formal way. In the end this pragmatic approach is
empirically justified by our results (cf. Section 3).
In this study the phase is extracted both via Hilbert and
via wavelet transform. (Besides these, many other methods of
extracting a phase have been proposed, cf. e.g. Refs. [49,50]. A
comparison of different methods can be found in Refs. [30,38].)
For each of the two phase distributions a phase locking index is
calculated.
The first approach used to determine the phases of the time
series is based on the analytic signal approach [51,52]. From
the continuous time series x(t) first the analytic signal is defined
H (t)
Z x (t) = x(t) + ix̃(t) = A xH (t)eiφx , (B.7)
where x̃(t) is the Hilbert transform of x(t):
x(t 0 ) 0
Z +∞
1
x̃(t) = p.v. dt (B.8)
π −∞ t − t
0
40 T. Kreuz et al. / Physica D 225 (2007) 29–42

(here p.v. denotes the Cauchy principal value). This gives the synonymously. The index of phase synchronization applied in
Hilbert phase: this study is the index based on circular variance (qualitatively
similar results were obtained with two indices introduced in
x̃(t)
φxH (t) = arctan . (B.9) Ref. [16]. For the sake of brevity these are not shown here):
x(t)  
1 X N 
Analogously, φ yH is defined from y(t). γ = ei[φx (t j )−φ y (t j )]  = 1 − CV. (B.14)
 
To calculate the discrete Hilbert transform we take
advantage of its easier form in the frequency domain where the
Hilbert transform creates an artificial imaginary part for the real
time series by performing a phase shift of the original signal by
π onto the unit circle in the complex plane. In the literature γ
2 while leaving the power spectrum unchanged. This can be
seen by applying the convolution theorem
x̃(t) = −i · FT−1 [FT[x(t)]sign(ω)], (B.10)
where FT denotes the Fourier transform and FT−1
its inverse.
The second method used in this study to extract the phases
is based on the wavelet transform [19,53]. In this approach the
phase is determined by the convolution of the respective signal
with a modified complex Morlet wavelet [26]
Ψ (t) = (eiωc t − e−ωc σ
2 2 /2 2 /2σ 2
) · e−t , (B.11)
where ωc is the center frequency of the wavelet and σ denotes
its rate of decay. This is proportional to the number of cycles n c
and related to the frequency span by the uncertainty principle.
The convolution of x(t) with Ψ (t) yields a complex time
series of wavelet coefficients
Z nal are shuffled before the calculation of the synchronization
Wx (t) = (Ψ ◦ x)(t) = Ψ (t 0 )x(t − t 0 ) dt 0
W (t)
x (t) · e ,
iφx
= AW (B.12)
from which the phases can be defined as
Im W (t)
φxW (t) = arctan . (B.13)
Re W (t)
In the same way W y (t) and φ yW (t) are defined from y(t).
Although based on very different approaches, these two
different definitions of phase are closely related [26]. The
wavelet phase φxW (t) is approximately equal to the Hilbert
phase φxH (t) obtained after band pass filtering the time series by
convolution with W . This correspondence would even become
exact if W were analytic. Therefore, in the wavelet approach
the center frequency ωc and the frequency width σ of the
wavelet can serve as parameters to adjust the frequency range
of interest. In this study the center frequency ωc was chosen as
the maximum frequency component of the system (cf. Table 1).
In contrast to this, the Hilbert transform is free of parameters,
and the Hilbert phase retains information from the entire power
spectrum.
In principle, one should measure phase synchronization by
observing whether the phase difference φx (t) − φ y (t) stays
bounded or not. Due to unavoidable glitches (fake jumps
by ±2π) this is practically impossible, and one has to use
statistical measures which, in a strict sense, measure coherence
instead of synchronization. In the following, however, we will
follow common practice in the literature and use both terms
 N j=1 
Here CV denotes the circular variance [54] of an angular
distribution obtained by transforming the phase differences
is also known as phase locking value [15], as mean phase
coherence [29], and as the intensity of the first Fourier mode
of the phase distribution [55].
The lower limit can only be obtained for a uniform
distribution of phase differences. However, since in general the
individual phase distributions are not uniform, the distribution
of phase differences is not uniform either. This results in
a systematic overestimation of phase synchronization, since
even in the case of completely uncorrelated phases, non-zero
values of phase synchronization can be obtained due to non-
uniformities in the individual phase distributions.
To account for this bias, the index of phase synchronization
is compared to the index obtained for the maximum possible
uniformity of the phase difference distribution given the indi-
vidual phase distributions. This value can easily be estimated
by using a surrogate method in which the phases of one sig-
index [19]. To yield a reliable statistics, 10 different “phase sur-
rogates” are generated, and the average over the resulting in-
dices is used as the limit value for uncorrelated phases.
A corrected and normalized index of phase synchronization
is thus obtained using the following definition:
if γ < γ S

0
γ = γ −γ
∗ S (B.15)
else
1−γS

with γ S denoting the mean value for the surrogates. Instead
of randomizing the phases, also a ranking of the individual
phase distributions could be used to yield homogenous phase
distributions.
In this study only the standard case of 1:1 phase
synchronization is investigated, although this index could
easily be adapted to the more general case of n:m
synchronization [29]. The index of phase synchronization
is confined to the interval [0,1]. Values close to zero
are attained for uncorrelated phase differences (no phase
synchronization) while the maximum value corresponds to
Dirac-like distributions (perfect phase synchronization). The
most important feature of these indices is that they are only
sensitive to phases, irrespective of the amplitude of the two
signals (cf. Ref. [7]).
B.4. Non-linear interdependencies
As measures for generalized synchronization between two
time series x and y, we used the non-linear interdependence
 T. Kreuz et al. / Physica D 225 (2007) 29–42 41

S (qualitatively similar results were obtained with the non- based on the relative timings of certain ‘events’ in the time
linear interdependence H ) proposed in Ref. [12]. It is related to series and quantifies the over-all level of synchronicity from the
earlier attempts to detect generalized synchronization like the number of quasi-simultaneous appearances of these events. For
method of mutual false nearest neighbors [10] and the mutual each application a different choice of events is possible, thus
cross predictability introduced in Ref. [20]. In contrast to these enabling one to focus attention on the pattern of interest and
measures, the non-linear interdependence S does not assume reducing the disturbance by irrelevant structures.
a strict functional relationship between the dynamics of the Events can be characteristic patterns in the time series such
underlying systems X and Y . as spikes but also rather common features like local maxima
For state space reconstruction, delay vectors xn = and/or minima. In a first step both time series x and y are
(xn , . . . , xn−(m−1)d ) and yn = (yn , . . . , yn−(m−1)d ) with scanned for these events and the times of their occurrence
y
embedding dimension m and time lag d (cf. Table 1) are are marked as tix and t j (i = 1, . . . , m x ; j = 1, . . . , m y )
obtained. Subsequently, it is checked whether closeness in the with m x and m y denoting the respective number of events.
state space of Y implies closeness in the state space of X for Thus, the original time series are replaced by new series of
equal time partners, and the same is done for the other direction event times (a procedure similar to the method of symbolic
just by exchanging X and Y . dynamics) whose synchronicity is then measured in the second
Denoting the time indices of the k = 10 nearest neighbors step. This reduction of information is a crucial step since event
of xn with rn, j and those of yn with sn, j , j = 1, . . . , k, for synchronization does not measure the synchronization between
each xn the squared mean Euclidean distance to its k neighbors the two time series as a whole, but rather the synchronicity
(after using a Theiler-correction T = 50 to exclude temporally between the defined events. Thus different values are attained
related neighbors [56]) is defined as for different choices of events. Positively speaking event
synchronization is very adaptive, negatively speaking it might
k
1X not be robust.
Rn(k) (X ) =

2
xn − xrn, j . (B.16)
k j=1 In this paper for all coupled model systems an appropriate
representation of the original time series and a suitable statistics
Then, by replacing the nearest neighbors by the equal time was achieved by defining events as local maxima and minima,
partners of the closest neighbors of yn , the y-conditioned i.e., for a maximum the condition x(ti ) > x(ti±1 ) was
squared mean Euclidean distance is given as: employed. Only coincidences of the same type of event were
k
taken into account. To measure the synchronicity of such
1X
Rn(k) (X |Y ) = events, a maximum time lag l was defined up to which two

2
xn − xsn, j . (B.17)
k j=1 events are still considered to be synchronous. Double counting
was avoided by choosing l = 0 smaller than half the minimum
(k)
If the systems are strongly synchronized, then Rn (X |Y ) ≈ inter-event distance.
(k)
Rn (X ) is very small compared to the average squared distance Using
PN (N −1) (k)
R(X ) = N1 n=1 Rn (X ) of {xn }, while Rn (X |Y ) ≈ y
if 0 < tix − t j ≤ l

(N −1) (k) 1
Rn (X )  Rn (X ) holds for independent systems. Jilj = 1/2 if tix = t j
y
(B.20)
Accordingly, the non-linear interdependence measure is defined 
0 else
as
N (k)
to quantify the relative timing of all events, the number of times
1 X Rn (X ) an event appears in x shortly after it appears in y is counted by
S(X |Y ) = . (B.18)
N n=1 Rn(k) (X |Y )
my
mx X
X
(k) (k) c(x|y) = Jilj . (B.21)
Since Rn (X |Y ) ≥ Rn (X ) by construction, a proper
i=1 j=1
normalization 0 < S(X |Y ) ≤ 1 is achieved with low
values suggesting independence between X and Y and high With the opposite value c(y|x) defined accordingly, we
values indicating interdependence. Exchanging systems X and obtain the measure [23]
Y yields the opposite interdependence S(Y |X ) defined in
c(y|x) + c(x|y)
complete analogy. In order to obtain a measure quantifying the Q= √ . (B.22)
over-all degree of synchronization we used the symmetrized mx m y
variant This measure is designed to quantify the synchronization of
S(X |Y ) + S(Y |X ) the time events. It is normalized to 0 ≤ Q ≤ 1 with Q = 1 if
S= . (B.19) and only if all events of the signals are synchronous.
2
In analogy to the indices of phase synchronization we
B.5. Event synchronization used a renormalization which accounts for simultaneous events
expected just due to chance: Depending on the choice of events
The last concept is the so-called event synchronization and the number of events in the single time series, even for
proposed in Ref. [23] and later used in Refs. [57,58]. It is independent time series a considerable number of simultaneous
42 T. Kreuz et al. / Physica D 225 (2007) 29–42

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Q − Q
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