Description Usage Arguments Value Author(s) References Examples
Function that returns the embedding dimention for simplex that maximizes cross-validation correlation
1 | EmbedFn(Y, PredInterval, Candidates = 1:5)
|
Y |
Time series |
PredInterval |
Prediction interval, i.e. 1 represents predicting one observation ahead |
Candidates |
Candidate embedding dimensions |
Returns an integer from the 'Candidates' which maximizes crossvalidation correlation
James Thorson
Sugihara, G., and May, R.M. 1990. Nonlinear forecasting as a way of distinguishing chaos from measurement error in time series. Nature 334: 734-741.
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