false.nearest {tseriesChaos}

Method of false nearest neighbours

Description

Method of false nearest neghbours to help deciding the optimal embedding dimension

Usage

false.nearest(series, m, d, t, rt=10, eps=sd(series)/10)

Arguments

series

time series

m

maximum embedding dimension

d

delay parameter

t

Theiler window

rt

escape factor

eps

neighborhood diameter

Details

Method of false nearest neighbours to help deciding the optimal embedding dimension.

Value

Fraction of false neighbors (first row) and total number of neighbors (second row) for each specified embedding dimension (columns)

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)

Kennel M. B., Brown R. and Abarbanel H. D. I., Determining embedding dimension for phase-space reconstruction using a geometrical construction, Phys. Rev. A, Volume 45, 3403 (1992).

Examples

(fn.out <- false.nearest(rossler.ts, m=6, d=8, t=180, eps=1, rt=3))
plot(fn.out)