The rEDM software package (for the programming language R) is a toolbox of commonly used methods in empirical dynamics. It contains methods to identify and quantify nonlinear predictability (Sugihara & May 1990, Sugihara 1994) as well as multivariate extensions thereof (Dixon et al. 1999). In addition, rEDM implements convergent cross mapping as a test for causality (Sugihara et al. 2012).
Access the software package here at github.