DChaos v0.1-1


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Chaotic Time Series Analysis

Provides several algorithms for the purpose of detecting chaotic signals inside univariate time series. We focus on methods derived from chaos theory which estimate the complexity of a dataset through exploring the structure of the attractor. We have taken into account the Lyapunov exponents as an ergodic measure. We have implemented the Jacobian method by a fit through neural networks in order to estimate both the largest and the spectrum of Lyapunov exponents. We have considered the full sample and three different methods of subsampling by blocks (non-overlapping, equally spaced and bootstrap) to estimate them. In addition, it is possible to make inference about them and know if the estimated Lyapunov exponents values are or not statistically significant. This library can be used with time series whose time-lapse is fixed or variable. That is, it considers time series whose observations are sampled at fixed or variable time intervals. For a review see David Ruelle and Floris Takens (1971) <doi:10.1007/BF01646553>, Ramazan Gencay and W. Davis Dechert (1992) <doi:10.1016/0167-2789(92)90210-E>, Jean-Pierre Eckmann and David Ruelle (1995) <doi:10.1103/RevModPhys.57.617>, Mototsugu Shintani and Oliver Linton (2004) <doi:10.1016/S0304-4076(03)00205-7>, Jeremy P. Huke and David S. Broomhead (2007) <doi:10.1088/0951-7715/20/9/011>.

Functions in DChaos

Name Description
lyapunov Estimation of the Lyapunov exponent through several methods
lyapunov.spec Estimation of the Lyapunov exponent spectrum
lyapunov.max Estimation of the largest Lyapunov Exponent
henon.ts Simulation of time series from the H<U+00E9>non map
embedding Construction of embedding vectors using the method of delays
logistic.ts Simulation of time series from the Logistic equation
rossler.ts Simulation of time series from the R<U+00F6>ssler system
lorenz.ts Simulation of time series from the Lorenz system
jacobi Application of Jacobian method by a fit through neural networks
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Type Package
Date 2019-04-13
License GPL (>= 2)
Encoding UTF-8
RoxygenNote 6.1.1
NeedsCompilation no
Packaged 2019-04-13 12:40:12 UTC; julioemilio
Repository CRAN
Date/Publication 2019-04-14 11:02:46 UTC

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