Calculation of Average Mutual Information (AMI) and false-nearest neighbors (FNN) for the estimation of embedding parameters of multidimensional time series in matlab
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Authors
Using the method or time-delayed embedding, a signal can be embedded into higher-dimensional space in order to study its dynamics. This requires knowledge of two parameters: The delay parameter t, and the embedding dimension parameter D. Two standard methods to estimate these parameters in one-dimensional time series involve the inspection of the Average Mutual Information (AMI) function and the False Nearest Neighbor (FNN) function. In some contexts, however, such as phase-space reconstruction for Multidimensional Recurrence Quantification Analysis (MdRQA), the empirical time series that need to be embedded already possess a dimensionality higher than one. In the current article, we present extensions of the AMI and FNN functions for higher dimensional time series and their application to data from the Lorenz system coded in Matlab.
| Original language | English |
|---|---|
| Article number | 1679 |
| Journal | Frontiers in Psychology |
| Volume | 9 |
| Issue number | SEP |
| Number of pages | 10 |
| ISSN | 1664-1078 |
| DOIs | |
| Publication status | Published - 10.09.2018 |
| Externally published | Yes |
- Psychology - Average mutual information, Code:Matlab, False-nearest neighbors, Multidimensional Recurrence Quantification Analysis, Multidimensional time series, Time-delayed embedding