Nonlinear noise reduction
Function for denoising a given time series using nonlinear analysis techniques.
nonLinearNoiseReduction(time.series, embedding.dim, radius)
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). |
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).
A vector containing the denoised time series.
Constantino A. Garcia
H. Kantz and T. Schreiber: Nonlinear Time series Analysis (Cambridge university press)
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