false.nearest function

Method of false nearest neighbours

Method of false nearest neghbours to help deciding the optimal embedding dimension

false.nearest(series, m, d, t, rt=10, eps=sd(series)/10)

Arguments

• series: time series
• m: maximum embedding dimension
• d: delay parameter
• t: Theiler window
• rt: escape factor
• eps: neighborhood diameter

Details

Method of false nearest neighbours to help deciding the optimal embedding dimension.

Returns

Fraction of false neighbors (first row) and total number of neighbors (second row) for each specified embedding dimension (columns)

Examples

(fn.out <- false.nearest(rossler.ts, m=6, d=8, t=180, eps=1, rt=3))
plot(fn.out)

References

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

Kennel M. B., Brown R. and Abarbanel H. D. I., Determining embedding dimension for phase-space reconstruction using a geometrical construction, Phys. Rev. A, Volume 45, 3403 (1992).

Author(s)

Antonio, Fabio Di Narzo