C2 {tseriesChaos}

Sample correlation integral

Description

Sample correlation integral for the specified length scale

Usage

C2(series, m, d, t, eps)

Arguments

series

time series

m

embedding dimension

d

time delay

t

Theiler window

eps

length scale

Details

Computes the sample correlation integral on the provided time series for the specified length scale, and considering a time window t (see references). It uses a naif algorithm: simply returns the fraction of points pairs nearer than eps. Normally, you would use d2, which takes roughly the same time, but computes the correlation sum for multiple length scales and embedding dimensions at once.

Value

The sample correlation integral at eps length scale.

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)

See Also

d2