Sample correlation integral for the specified length scale
C2(series, m, d, t, eps)time series
embedding dimension
time delay
Theiler window
length scale
The sample correlation integral at eps length scale.
Computes the sample correlation integral on the provided time series for the specified length scale, and considering a time window t (see references). It uses a naif algorithm: simply returns the fraction of points pairs nearer than eps. Normally, you would use d2, which takes roughly the same time, but computes the correlation sum for multiple length scales and embedding dimensions at once.
Hegger, R., Kantz, H., Schreiber, T., Practical implementation of nonlinear time series methods: The TISEAN package; CHAOS 9, 413-435 (1999)