Multivariate phase space reconstruction by nearest neighbor embedding   with different time delays
  A recently proposed nearest neighbor based selection of time delays for phase space reconstruction is extended to multivariate time series, with an iterative selection of variables and time delays. A case study of numerically generated solutions of the x- and z coordinates of the Lorenz system, and an application to heart rate and respiration data, are used for illustration. 
Sara P. Garcia, Jonas S. Almeida