Implements an advanced pattern causality algorithm to explore the causal relationships between two time series datasets. This function provides comprehensive analysis of causality patterns, including state space reconstruction, pattern identification, and causality strength evaluation.
pcFullDetails(
X,
Y,
E,
tau,
h,
weighted,
metric = "euclidean",
distance_fn = NULL,
state_space_fn = NULL,
relative = TRUE,
verbose = FALSE
)A pc_full_details object containing:
backtest_time: Time points used for backtesting
valid_time: Valid time points for analysis
causality_real: Real causality spectrum
causality_pred: Predicted causality spectrum
state_spaces: State space reconstructions
neighbors: Nearest neighbor information
patterns: Pattern and signature information
matrices: Causality matrices
predictions: Predicted and actual values
weighted: A logical indicating if weighted calculations were used
E: Embedding dimension used for the analysis
Numeric vector; the first time series data
Numeric vector; the second time series data
Integer; embedding dimension for state space reconstruction
Integer; time delay between data points
Integer; prediction horizon for causality analysis
Logical; whether to weight causality strength
Character; distance metric ('euclidean', 'manhattan', or 'maximum')
Optional custom distance function for computing distances (default: NULL)
Optional custom function for state space reconstruction (default: NULL)
Logical; if TRUE calculates relative changes ((new-old)/old), if FALSE calculates absolute changes (new-old) in signature space. Default is TRUE.
Logical; if TRUE, prints computation progress (default: FALSE)
Calculate Full Details Pattern Causality Analysis
The function implements these key steps:
State Space Reconstruction: Creates shadow attractors using embedding
Pattern Analysis: Converts time series into signature and pattern spaces
Nearest Neighbor Analysis: Identifies and analyzes local dynamics
Causality Evaluation: Computes predicted and actual causality matrices
Results Validation: Provides detailed diagnostics and quality metrics