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problem with library tseriesChaos

3 messages · mike1989, Fukushima Shintaro, Uwe Ligges

#
Hi R-Users

I need to estimate Lyapunov exponent of my time series. After reading
description of all functions available I still don't know how to determine
time delay. My time series length is 4200. Is it possible to determine time
delay with other function's output or I can choose any random value?

Thanks for your help!

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10 days later
#
Hello.
There are several ways to estimate time delay in chaotic time series
analysis.
Please refer to the book "Nonlinear time series analysis" by Holger Kantz
and Thomas Shreiber.
http://www.amazon.com/Nonlinear-Time-Analysis-Holger-Kantz/dp/0521529026
http://www.amazon.com/Nonlinear-Time-Analysis-Holger-Kantz/dp/0521529026 

For example, time delay is defined as the time when average mutual
information reaches the first local minimum.

Using the package "tseriesChaos", it is estimated as follows:
The last two can also be simplied.
Recently, in Japan, a book has been published on useful packages of R.
http://www.amazon.co.jp/R%E3%83%91%E3%83%83%E3%82%B1%E3%83%BC%E3%82%B8%E3%82%AC%E3%82%A4%E3%83%89%E3%83%96%E3%83%83%E3%82%AF-%E5%B2%A1%E7%94%B0-%E6%98%8C%E5%8F%B2/dp/448902097X
http://www.amazon.co.jp/R%E3%83%91%E3%83%83%E3%82%B1%E3%83%BC%E3%82%B8%E3%82%AC%E3%82%A4%E3%83%89%E3%83%96%E3%83%83%E3%82%AF-%E5%B2%A1%E7%94%B0-%E6%98%8C%E5%8F%B2/dp/448902097X 

I wrote an article on the packages "RTisean" and "tseriesChaos".
There, I showed an example of estimating the maximum Lyapunov exponent,
using the NH3 laser data.
The source code is available from the following website.
https://gist.github.com/4efa66686c24f158f7e9
https://gist.github.com/4efa66686c24f158f7e9 

I would be happy to be of any service to you.

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#
Dear Fukushima Shintaro,

please also reply to the person who asked the question (she or he might 
not be subscribed to the mailing list). Additionally, please always 
quote the original question. Other mailing list readers won't lerned 
from an answer without corresponding question.

Thank you for providing help, best wishes,
Uwe Ligges
On 25.04.2011 14:32, Fukushima Shintaro wrote: