mutual {tseriesChaos}

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)