loom {GammaTest}R Documentation

Calculating the Embedding Dimension: The Leave One Out Method

Description

Calculates and plots the Gamma statistic, where successive inputs are left out of the embedding. For time series inputs are left out in reverse time order. For example, a 5 input mask iterates as follows: 1 1 1 1 0, 1 1 1 0 0 , 1 1 0 0 0, 1 0 0 0 0, 0 0 0 0 1. Notice for the last iteration where we exclude lag one we include the last lag because otherwise we have no data on which to calculate the effect of leaving out the lag!

Usage

loom(data,...)

Arguments

data An input/output dataset.
... Additional gammatest parameters. Use if you wish to change the default values of p and eps when computing the Gamma tests.

Details

The leave one out technique is a similar procedure to that of the increasing embedding search.

Value

results The returned Gamma statistics.

Author(s)

Samuel E. Kemp. To report any bugs or suggestions please email: sekemp@glam.ac.uk

References

Otani M and Jones A. J (1997). Guiding chaotic orbits. Technical report, Department of Computing, Imperial College of Science, Technology and Medicine, and Department of Computer Science, Cardiff University.

For papers and Gamma test related material visit http://users.cs.cf.ac.uk:81/Antonia.J.Jones/GammaArchive/IndexPage.htm

See Also

gammatest iesearch

Examples

# Example on an AR(1) process
ts.sim  <- arima.sim(500, model=list(ar=0.9), sd=sqrt(1))
gfts.sim <- dvec(ts.sim, 15)
my.loom <- loom(gfts.sim)

# Henon Map example
data(HenonMap)
gfHenonMap <- dvec(HenonMap[,1], 20)
hm.loom <- loom(gfHenonMap)

[Package GammaTest version 1.1 Index]