Re: [R] problem with library tseriesChaos

From: Fukushima Shintaro <sfukushim_at_gmail.com>
Date: Mon, 25 Apr 2011 05:32:34 -0700 (PDT)

Hello.

> Is it possible to determine time delay with other function's output or I
> can choose any random value?

There are several ways to estimate time delay in chaotic time series analysis.
Please refer to the book "Nonlinear time series analysis" by Holger Kantz and Thomas Shreiber.
http://www.amazon.com/Nonlinear-Time-Analysis-Holger-Kantz/dp/0521529026 http://www.amazon.com/Nonlinear-Time-Analysis-Holger-Kantz/dp/0521529026

For example, time delay is defined as the time when average mutual information reaches the first local minimum.

Using the package "tseriesChaos", it is estimated as follows:

> library(tseriesChaos)
> x.mu <- mutual(x, plot=FALSE)
> x.mu.d <- diff(x.mu)
> d <- min(which(x.mu.d > 0)) - 1

The last two can also be simplied.
> d <- which.min(x.mu) - 1

Recently, in Japan, a book has been published on useful packages of R. http://www.amazon.co.jp/R%E3%83%91%E3%83%83%E3%82%B1%E3%83%BC%E3%82%B8%E3%82%AC%E3%82%A4%E3%83%89%E3%83%96%E3%83%83%E3%82%AF-%E5%B2%A1%E7%94%B0-%E6%98%8C%E5%8F%B2/dp/448902097X http://www.amazon.co.jp/R%E3%83%91%E3%83%83%E3%82%B1%E3%83%BC%E3%82%B8%E3%82%AC%E3%82%A4%E3%83%89%E3%83%96%E3%83%83%E3%82%AF-%E5%B2%A1%E7%94%B0-%E6%98%8C%E5%8F%B2/dp/448902097X

I wrote an article on the packages "RTisean" and "tseriesChaos". There, I showed an example of estimating the maximum Lyapunov exponent, using the NH3 laser data.
The source code is available from the following website. https://gist.github.com/4efa66686c24f158f7e9 https://gist.github.com/4efa66686c24f158f7e9

I would be happy to be of any service to you.

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Received on Mon 25 Apr 2011 - 13:00:03 GMT

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