d2: Sample correlation integral (at multiple length scales)
Description
Computes the sample correlation integral over a grid of neps length scales starting from eps.min, and for multiple embedding dimensions
Usage
d2(series, m, d, t, eps.min, neps=100)
Arguments
series
time series
m
max embedding dimension
d
time delay
t
Theiler window
eps.min
min length scale
neps
number of length scales to evaluate
Value
Matrix.
Column 1: length scales. Column i=2, ..., m+1: sample correlation integral for embedding dimension i-1.
Details
Computes the sample correlation integral over neps length scales starting from eps.min, for embedding dimension 1,...,m , considering a t time window (see references). The slope of the linear segment in the log-log plot gives an estimate of the correlation dimension (see the example).
References
Hegger, R., Kantz, H., Schreiber, T., Practical implementation of nonlinear time series methods: The TISEAN package; CHAOS 9, 413-435 (1999)