compute_derivative: Compute numeric derivatives of a time series.

In RobertGM111/havok: Procedures for the Analysis of Nonlinear Dynamical Systems

Compute numeric derivatives of a time series.

Description

Estimates the derivative of a time series using numeric methods.

Usage

compute_derivative(x, dt, r = min(dim(as.matrix(x))),
                          devMethod = c("FOCD", "GLLA", "FINITE"),
                          gllaEmbed = NA, gllaTau = NA, gllaOrder = NA)

Arguments

x	A vector or matrix of measurements over time.
dt	Numeric; the change in time between successive measurements.
r	An integer; the number of time series in x used to calculate dXdt.
devMethod	A character string. One of either "FOCD" for fourth order central difference, "GLLA" for generalized local linear approximation, or "FINITE" for simple finite difference.
gllaEmbed	An integer; t embedding dimension used for devMethod = "GLLA".
gllaTau	An integer; the time delay used for devMethod = "GLLA".
gllaOrder	An integer; the embedding dimension used for devMethod = "GLLA".

Value

• If devMethod = "FOCD" - returns a vector or matrix of first order derivatives the first r columns of x with respect to time.

• If devMethod = "GLLA" - returns a matrix or list of matrices of derivatives of the first r columns of x with respect to time. Derivatives returned by devMethod = "GLLA" are up to order "gllaOrder" and include the "0^{th}" derivative.

• If devMethod = "FINITE" - returns a vector or matrix of first order derivatives the first r columns of x with respect to time.

References

Boker, S. M., Deboeck, P. R., Edler, C., & Keel, P. K. (2010). Generalized local linear approximation of derivatives from time series. In Chow S, Ferrer E, and Hsieh F, editors, Statistical methods for modeling human dynamics: An interdisciplinary dialogue.

Examples

data(ECG_measurements)

xdat <- ECG_measurements[,"channel1"]
dt <- ECG_measurements[2,"time"] - ECG_measurements[1,"time"]

compute_derivative(x = xdat, dt = dt, devMethod = "FOCD")

## Not run: 
compute_derivative(x = xdat, dt = dt, devMethod = "GLLA", gllaEmbed = 5, gllaTau = 1, gllaOrder = 1)

## End(Not run)

RobertGM111/havok documentation built on July 8, 2023, 8:23 p.m.