CCM: The original Convergent Cross Mapping

In chengfeifan/Causality: Calculate the Causality between variables

Description

The original Convergent Cross Mapping

Usage

CCM(x, y, tau, E, LMN, ...)

Arguments

x	A vector represent the time series
y	A vector represent the time series
tau	The time interval of sample
E	The embedding dimension

Details

This method is proposed by the Sugihara, which is based on the Taken's Theorem.

Value

A list of SugiX, SugiY, OriginX, OriginY, CorX, CorY

$SugiX The value of X estimated by CCM, a vector

$SugiY The value of Y estimated by CCM, a verctor

$OriginX The original value of X, a vector

$OriginY The original value of Y, a vector

$CorX The correlation coefficient between SugiX and OriginX

$CorY The correlation coefficient betwwen SugiY and OriginY

Examples

x<-c(1:100)
y<-c(100:1)
result<-CCM(x,y,tau=1,E=2)

chengfeifan/Causality documentation built on May 13, 2019, 3:40 p.m.