R/first-mi-minima.R

In kahaaga/tstools: Useful functions

#' Finds the first minima or zero of the mutual information (mi) function
#' of the series 'v'.
#'
#' @param v A numeric vector containing the series.
#' @param lag.max The maximum lag to consider in the mi function.
#' @param partitions Number of partitions used when computing the MI function.
#' @param plot.mi.func Should the mi function be plotted?
#' @return The first lag that minimises the mi function.
#' @export first_mi_minima
#'
first_mi_minima <- function(v,
                            lag.max,
                            partitions = 16,
                            plot.mi.func = F) {
    mutual.information.function <- tseriesChaos::mutual(series = v,
                                          lag.max = lag.max,
                                          partitions = partitions,
                                          plot = plot.mi.func)
    mutual.information.function <- as.vector(mutual.information.function)

    lag <- tstools::first_local_minima(mutual.information.function) - 1

    return(lag)
}