mutual {tseriesChaos}R Documentation

Average Mutual Information

Description

Estimates the average mutual information index (ami) of a given time series for a specified number of lags

Usage

mutual(series, partitions = 16, lag.max = 20, plot=TRUE, ...)

Arguments

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

Details

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.

Value

An object of class "ami", which is a vector containing the estimated mutual information index for each lag between 0 and lag.max.

Author(s)

Antonio, Fabio Di Narzo

References

Hegger, R., Kantz, H., Schreiber, T., Practical implementation of nonlinear time series methods: The TISEAN package; CHAOS 9, 413-435 (1999)

Examples

mutual(lorenz.ts)

[Package tseriesChaos version 0.1-8 Index]