Nonlinear noise reduction

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Description

Function for denoising a given time series using nonlinear analysis techniques.

Usage

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  nonLinearNoiseReduction(time.series, embedding.dim,
    radius)

Arguments

time.series

The original time series to denoise.

embedding.dim

Integer denoting the dimension in which we shall embed the time.series.

radius

The radius used to looking for neighbours in the phase space (see details).

Details

This function takes a given time series and denoises it. The denoising is achieved by averaging each Takens' vector in an m-dimensional space with his neighbours (time lag=1). Each neighbourhood is specified with balls of a given radius (max norm is used).

Value

A vector containing the denoised time series.

Author(s)

Constantino A. Garcia

References

H. Kantz and T. Schreiber: Nonlinear Time series Analysis (Cambridge university press)