Become an expert in R — Interactive courses, Cheat Sheets, certificates and more!

Get Started for Free

nonlinearTseries

Nonlinear Time Series Analysis

Functions for nonlinear time series analysis. This package permits the computation of the most-used nonlinear statistics/algorithms including generalized correlation dimension, information dimension, largest Lyapunov exponent, sample entropy and Recurrence Quantification Analysis (RQA), among others. Basic routines for surrogate data testing are also included. Part of this work was based on the book "Nonlinear time series analysis" by Holger Kantz and Thomas Schreiber (ISBN: 9780521529020).

Functions (49)

FFTsurrogate

Generate surrogate data using the Fourier transform

buildTakens

Build the Takens' vectors

cliffordMap

Clifford map

contourLines

Obtain the contour lines of the space time plot.

Correlation sum, correlation dimension and generalized correlation dimension (order q >1).

Returns the correlation sums stored in the corrDim object

dfa

Detrended Fluctuation Analysis

Returns the time in which the divergence of close trajectories was computed in order to estimate the maximum Lyapunov exponent.

Returns the rate of divergence of close trajectories needed for the maximum Lyapunov exponent estimation.

embeddingDims

Get the embedding dimensions used for compute a chaotic invariant.

Estimate several chaotic invariants using linear regression

estimateEmbeddingDim

Estimate the embedding dimension

findAllNeighbours

neighbour search

fixed mass

fluctuationFunction

Returns the fluctuation function obtained in a DFA and represented by a dfa object.

Gauss map

getContourLines

Obtain the contour lines of the space time plot.

Henon map

Ikeda map

Information dimension

Keenan's test

Obtain the the average log(radius) computed on the information dimension algorithm.

logisticMap

Logistic map

Lorenz system

maxLyapunov

Maximum lyapunov exponent

mcleodLiTest

McLeod-Li test

mutualInformation

Average Mutual Information (AMI)

neighbourSearch

neighbour search

Get the order of the nonlinear chaotic invariant.

nonLinearNoiseReduction

Nonlinear noise reduction

nonLinearPrediction

Nonlinear time series prediction

nonlinearityTest

Nonlinearity test

plotLocalScalingExp

Plot local scaling exponents

poincareMap

Poincare map

Get the radius of the neighborhoods used for the computations of a chaotic invariant.

recurrencePlot

Recurrence Plot

Rossler system

rqa

Recurrence Quantification Analysis (RQA)

sampleEntropy

Sample Entropy (also known as Kolgomorov-Sinai Entropy)

sampleEntropyFunction

Returns the sample entropy function h_q(m,r) used for the computations of the sample entropy.

Sinai map

spaceTimePlot

Space Time plot

surrogateTest

Surrogate data testing

thresholdTest

Threshold nonlinearity test

timeAsymmetry

Time Reversibility statistic

timeAsymmetry2

Time Reversibility statistic

Estimate an appropiate time lag for the Takens' vectors

Tsay's test

windowSizes

Returns the window sizes used for DFA in a dfa object.

nonlinearTseries

Nonlinear Time Series Analysis

v0.2.10

GPL-3

Authors

Constantino A. Garcia [aut, cre], Gunther Sawitzki [ctb]

Initial release

2020-6-10

We don't support your browser anymore

Please choose more modern alternatives, such as Google Chrome or Mozilla Firefox.