mutual: Average Mutual Information

Description

Estimates the average mutual information index (ami) of a given time series for a specified number of lags

Usage

mutual(series, partitions = 16, lag.max = 20, plot=TRUE)

Arguments

series

time series

partitions

number of bins

lag.max

largest lag

plot

logical. If 'TRUE' (the default) the ami is plotted

Value

An object of class "ami", which is a vector containing the estimated mutual information index for each lag between 0 and lag.max.

Details

Estimates the mutual information index for a specified number of lags. The joint probability distribution function is estimated with a simple bi-dimensional density histogram.

References

Hegger, R., Kantz, H., Schreiber, T., Practical implementation of nonlinear time series methods: The TISEAN package; CHAOS 9, 413-435 (1999)

Examples

Run this code

mutual(lorenz.ts)

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