mutual function

Average Mutual Information

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

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
• ...: further arguments to be passed to the plot method

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.

Returns

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

Examples

mutual(lorenz.ts)

References

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

Author(s)

Antonio, Fabio Di Narzo