embedSeries: Creates a delay embedding of a single variable time series

In fractal: A Fractal Time Series Modeling and Analysis Package

Description

Given the time series X(t), the embedding dimension E, and the time delay tau, the embedding coordinates are defined as X(t), X(t + tau), ... , X(t + (E - 1)*tau).

Usage

embedSeries(x, dimension=NULL, tlag=NULL, series.name=NULL)

Arguments

x	a vector containing a uniformly-sampled real-valued time series.
dimension	the maximal embedding dimension. Default: 2.
series.name	a character string defining the name of the input time series. Default: deparseText(substitute(x)).
tlag	the time delay between coordinates. Default: the first zero crossing of the autocorrelation function of x.

Value

an object of class embedSeries.

S3 METHODS

[

data access method. Usage: x[1:3,1].

as.matrix

convert embedding into matrix object. Usage: as.matrix(x).

eda.plot

creates an extended data analysis plot of the data summarizing many of its statistical features. Usage: eda.plot(x).

plot

plots the embedding. For embeddings higher than 3, a spin plot of the data is generated. Use the buttons on the spin control panel to conrtol the display. Available options to the plot function are:

dim

The plot dimension. Must be less than or equal to the maximal embedding dimension (number of columns in the embedding matrix). Default: the maximal embedding dimension.

...

Additional plot arguments (set internally by the par function).

Usage: plot(x).

print

prints a summary of the embedding. Available options are:

...

Additional print arguments used by the standard print function.

Usage: print(x).

See Also

timeLag, FNN, corrDim, determinism.

Examples

## embed the beamchaos series in 10 dimensions 
## using a time lag of 15. 
z <- embedSeries(beamchaos, tlag=15, dim=10)

## plot the attractor in the phase space 
## Not run: plot(z)

## plot the embedding projected down to two 
## dimensions 
plot(z, dim=2)

Example output

Loading required package: splus2R
Loading required package: ifultools

fractal documentation built on May 1, 2019, 8:04 p.m.