Learn R Programming

⚠️There's a newer version (0.3.1) of this package.Take me there.

nonlinearTseries (version 0.2.12)

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).

Copy Link

Version

Install

install.packages('nonlinearTseries')

Monthly Downloads

1,220

Version

0.2.12

License

GPL-3

Issues

Pull Requests

Stars

Forks

Repository

https://github.com/constantino-garcia/nonlinearTseries

Maintainer

Constantino A. Garcia

Last Published

March 30th, 2022

Functions in nonlinearTseries (0.2.12)

Detrended Fluctuation Analysis

Obtain the contour lines of the space time plot.

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

Returns the correlation sums stored in the corrDim object

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

Generate surrogate data using the Fourier transform

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

Build the Takens' vectors

Get the embedding dimensions used for compute a chaotic invariant.

fluctuationFunction

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

Information dimension

findAllNeighbours

neighbour search

neighbourSearch

neighbour search

mutualInformation

Average Mutual Information (AMI)

nonLinearPrediction

Nonlinear time series prediction

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

nonlinearityTest

Nonlinearity test

Threshold nonlinearity test

Surrogate data testing

Recurrence Quantification Analysis (RQA)

getContourLines

Obtain the contour lines of the space time plot.

Estimate several chaotic invariants using linear regression

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

estimateEmbeddingDim

Estimate the embedding dimension

plotLocalScalingExp

Plot local scaling exponents

Estimate an appropiate time lag for the Takens' vectors

Get the order of the nonlinear chaotic invariant.

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

nonLinearNoiseReduction

Nonlinear noise reduction

Recurrence Plot

Maximum lyapunov exponent

Time Reversibility statistic

sampleEntropyFunction

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

Sample Entropy (also known as Kolgomorov-Sinai Entropy)

Time Reversibility statistic

Space Time plot