loom {GammaTest} | R Documentation |
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!
loom(data,...)
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. |
The leave one out technique is a similar procedure to that of the increasing embedding search.
results |
The returned Gamma statistics. |
Samuel E. Kemp. To report any bugs or suggestions please email: sekemp@glam.ac.uk
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
# 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)