R/myCCMRes.R

In chengfeifan/myCCM: calculate CCM

#' Calculate the CCM sigma value of x and y
#'
#' Takes in two sequences, and calculate the value of CCM
#'
#' @param x A vector represents the time sequence
#' @param y A vector represents another time sequence
#' @param lag Time lag between x and y
#' @param tag Select the dots of x and y to calculate the CCM
#' @param E+1 The embedded dimension of the manifold
#' @param k K nearest neighbors to construct the manifold
#'
#' @examples
#' @return A list of time lag and correlation number
#' @export
myCCMRes<-function(x,y,lag,tag,E=2,k=2,way=2,...){
  # x<-standize(x,way = way)
  # y<-standize(y,way = way)
  dataS<-sampleCCM(x,y,lag=lag,tag=tag,E)
  x<-dataS[[1]]
  y<-dataS[[2]]
  xRow=nrow(x)
  number<-c(1:xRow)
  yEstimate<-unlist(lapply(number,function(i){
    dataN<-knn(x,i)
    yN<-y[dataN[,'location']]
    u<-exp(-(dataN[,'distance']/(max(dataN[,'distance'])+1e-16)))
    w<-u/sum(u)
    yE<-sum(yN*w)
    return(yE)
  }))
  sigma<-sum((y-yEstimate)^2)/(length(y)-1)
  return(list("lag"=lag,"sigma"=sigma))
}