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nonlinearTseries (version 0.2.10)

Nonlinear Time Series Analysis

Description

Functions for nonlinear time series analysis. This package permits the computation of the most-used nonlinear statistics/algorithms including generalized correlation dimension, information dimension, largest Lyapunov exponent, sample entropy and Recurrence Quantification Analysis (RQA), among others. Basic routines for surrogate data testing are also included. Part of this work was based on the book "Nonlinear time series analysis" by Holger Kantz and Thomas Schreiber (ISBN: 9780521529020).

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install.packages('nonlinearTseries')

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Version

0.2.10

License

GPL-3

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Maintainer

Constantino A. Garcia

Last Published

June 13th, 2020

Functions in nonlinearTseries (0.2.10)

dfa

Detrended Fluctuation Analysis
buildTakens

Build the Takens' vectors
divergence

Returns the rate of divergence of close trajectories needed for the maximum Lyapunov exponent estimation.
contourLines

Obtain the contour lines of the space time plot.
embeddingDims

Get the embedding dimensions used for compute a chaotic invariant.
divTime

Returns the time in which the divergence of close trajectories was computed in order to estimate the maximum Lyapunov exponent.
FFTsurrogate

Generate surrogate data using the Fourier transform
corrDim

Correlation sum, correlation dimension and generalized correlation dimension (order q >1).
cliffordMap

Clifford map
fluctuationFunction

Returns the fluctuation function obtained in a DFA and represented by a dfa object.
gaussMap

Gauss map
nonLinearPrediction

Nonlinear time series prediction
maxLyapunov

Maximum lyapunov exponent
mcleodLiTest

McLeod-Li test
ikedaMap

Ikeda map
nlOrder

Get the order of the nonlinear chaotic invariant.
nonLinearNoiseReduction

Nonlinear noise reduction
henon

Henon map
getContourLines

Obtain the contour lines of the space time plot.
surrogateTest

Surrogate data testing
mutualInformation

Average Mutual Information (AMI)
nonlinearityTest

Nonlinearity test
thresholdTest

Threshold nonlinearity test
infDim

Information dimension
neighbourSearch

neighbour search
windowSizes

Returns the window sizes used for DFA in a dfa object.
estimate

Estimate several chaotic invariants using linear regression
rqa

Recurrence Quantification Analysis (RQA)
rossler

Rossler system
corrMatrix

Returns the correlation sums stored in the corrDim object
lorenz

Lorenz system
fixedMass

fixed mass
logisticMap

Logistic map
findAllNeighbours

neighbour search
radius

Get the radius of the neighborhoods used for the computations of a chaotic invariant.
recurrencePlot

Recurrence Plot
estimateEmbeddingDim

Estimate the embedding dimension
keenanTest

Keenan's test
poincareMap

Poincare map
logRadius

Obtain the the average log(radius) computed on the information dimension algorithm.
sampleEntropy

Sample Entropy (also known as Kolgomorov-Sinai Entropy)
spaceTimePlot

Space Time plot
sinaiMap

Sinai map
plotLocalScalingExp

Plot local scaling exponents
timeAsymmetry

Time Reversibility statistic
timeAsymmetry2

Time Reversibility statistic
timeLag

Estimate an appropiate time lag for the Takens' vectors
sampleEntropyFunction

Returns the sample entropy function \(h_q(m,r)\) used for the computations of the sample entropy.
tsayTest

Tsay's test