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nonlinearTseries (version 0.3.0)

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

0.3.0

License

GPL-3

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Maintainer

Constantino A. Garcia

Last Published

April 1st, 2024

Functions in nonlinearTseries (0.3.0)

maxLyapunov

Maximum lyapunov exponent
mcleodLiTest

McLeod-Li test
sampleEntropy

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

Plot local scaling exponents
poincareMap

Poincare map
keenanTest

Keenan's test
sampleEntropyFunction

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

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

Rossler system
rqa

Recurrence Quantification Analysis (RQA)
nlOrder

Get the order of the nonlinear chaotic invariant.
estimateEmbeddingDim

Estimate the embedding dimension
mutualInformation

Average Mutual Information (AMI)
neighbourSearch

neighbour search
nonLinearNoiseReduction

Nonlinear noise reduction
windowSizes

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

Lorenz system
logisticMap

Logistic map
surrogateTest

Surrogate data testing
timeAsymmetry

Time Reversibility statistic
nonlinearityTest

Nonlinearity test
tsayTest

Tsay's test
nonLinearPrediction

Nonlinear time series prediction
timeLag

Estimate an appropiate time lag for the Takens' vectors
radius

Get the radius of the neighborhoods used for the computations of a chaotic invariant.
timeAsymmetry2

Time Reversibility statistic
recurrencePlot

Recurrence Plot
spaceTimePlot

Space Time plot
sinaiMap

Sinai map
thresholdTest

Threshold nonlinearity test
cliffordMap

Clifford map
corrMatrix

Returns the correlation sums stored in the corrDim object
FFTsurrogate

Generate surrogate data using the Fourier transform
contourLines

Obtain the contour lines of the space time plot.
divTime

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

Build the Takens' vectors
divergence

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

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

Gauss map
henon

Henon map
dfa

Detrended Fluctuation Analysis
corrDim

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

Ikeda map
fluctuationFunction

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

fixed mass
estimate

Estimate several chaotic invariants using linear regression
findAllNeighbours

neighbour search
getContourLines

Obtain the contour lines of the space time plot.
infDim

Information dimension