mutual {tseriesChaos} | R Documentation |
Estimates the average mutual information index (ami) of a given time series for a specified number of lags
mutual(series, partitions = 16, lag.max = 20, plot=TRUE, ...)
series |
time series |
partitions |
number of bins |
lag.max |
largest lag |
plot |
logical. If 'TRUE' (the default) the ami is plotted |
... |
further arguments to be passed to the plot method |
Estimates the mutual information index for a specified number of lags. The joint probability distribution function is estimated with a simple bi-dimensional density histogram.
An object of class "ami", which is a vector containing the estimated mutual information index for each lag between 0 and lag.max
.
Antonio, Fabio Di Narzo
Hegger, R., Kantz, H., Schreiber, T., Practical implementation of nonlinear time series methods: The TISEAN package; CHAOS 9, 413-435 (1999)
mutual(lorenz.ts)