Package: nonlinearTseries 0.3.2

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).

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

# Install 'nonlinearTseries' in R:

install.packages('nonlinearTseries', repos = c('https://constantino-garcia.r-universe.dev', 'https://cloud.r-project.org'))

Bug tracker:https://github.com/constantino-garcia/nonlineartseries/issues

Uses libs:

openblas– Optimized BLAS
c++– GNU Standard C++ Library v3

On CRAN:

chaos chaotic-systems nonlinear-dynamics nonlinear-time-series time-series openblas cpp

9.02 score 38 stars 8 packages 205 scripts 1.1k downloads 5 mentions 49 exports 15 dependencies

Last updated from:061c464de0. Checks:13 OK. Indexed: yes.

Target	Result	Time
linux-devel-arm64	OK	185
linux-devel-x86_64	OK	197
source / vignettes	OK	277
linux-release-arm64	OK	178
linux-release-x86_64	OK	196
macos-release-arm64	OK	239
macos-release-x86_64	OK	348
macos-oldrel-arm64	OK	203
macos-oldrel-x86_64	OK	355
windows-devel	OK	217
windows-release	OK	273
windows-oldrel	OK	173
wasm-release	OK	154

Exports:buildTakens cliffordMap contourLines corrDim corrMatrix dfa divergence divTime embeddingDims estimate estimateEmbeddingDim FFTsurrogate findAllNeighbours fixedMass fluctuationFunction gaussMap getContourLines henon ikedaMap infDim keenanTest logisticMap logRadius lorenz maxLyapunov mcleodLiTest mutualInformation neighbourSearch nlOrder nonlinearityTest nonLinearNoiseReduction nonLinearPrediction plotLocalScalingExp poincareMap radius recurrencePlot rossler rqa sampleEntropy sampleEntropyFunction sinaiMap spaceTimePlot surrogateTest thresholdTest timeAsymmetry timeAsymmetry2 timeLag tsayTest windowSizes

Dependencies:cli curl jsonlite lattice lifecycle Matrix quadprog quantmod Rcpp RcppArmadillo rlang tseries TTR xts zoo

nonlinearTseries Quickstart

Rendered fromnonlinearTseries_quickstart.Rmdusingknitr::rmarkdown

Last update: 2021-05-12
Started: 2016-08-11

Citation

Development and contributors

Readme and manuals

Help Manual

Help page	Topics
Build the Takens' vectors	buildTakens
Clifford map	cliffordMap
Obtain the contour lines of the space time plot.	contourLines
Correlation sum, correlation dimension and generalized correlation dimension (order q >1).	corrDim corrMatrix.corrDim embeddingDims.corrDim estimate.corrDim nlOrder.corrDim plot.corrDim plotLocalScalingExp.corrDim radius.corrDim
Returns the correlation sums stored in the _corrDim_ object	corrMatrix
Detrended Fluctuation Analysis	dfa estimate.dfa fluctuationFunction.dfa plot.dfa windowSizes.dfa
Returns the rate of divergence of close trajectories needed for the maximum Lyapunov exponent estimation.	divergence
Returns the time in which the divergence of close trajectories was computed in order to estimate the maximum Lyapunov exponent.	divTime
Get the embedding dimensions used for compute a chaotic invariant.	embeddingDims
Estimate several chaotic invariants using linear regression	estimate
Estimate the embedding dimension	estimateEmbeddingDim
Generate surrogate data using the Fourier transform	FFTsurrogate
neighbour search	findAllNeighbours
fixed mass	fixedMass
Returns the fluctuation function obtained in a DFA and represented by a _dfa_ object.	fluctuationFunction
Gauss map	gaussMap
Obtain the contour lines of the space time plot.	getContourLines
Henon map	henon
Ikeda map	ikedaMap
Information dimension	embeddingDims.infDim estimate.infDim fixedMass.infDim infDim logRadius.infDim plot.infDim plotLocalScalingExp.infDim
Keenan's test	keenanTest
Logistic map	logisticMap
Obtain the the average log(radius) computed on the information dimension algorithm.	logRadius
Lorenz system	lorenz
Maximum lyapunov exponent	divergence.maxLyapunov divTime.maxLyapunov embeddingDims.maxLyapunov estimate.maxLyapunov maxLyapunov plot.maxLyapunov
McLeod-Li test	mcleodLiTest
Average Mutual Information (AMI)	as.numeric.mutualInf mutualInformation plot.mutualInf [.mutualInf [[.mutualInf
neighbour search	neighbourSearch
Get the order of the nonlinear chaotic invariant.	nlOrder
Nonlinearity test	nonlinearityTest
Nonlinear noise reduction	nonLinearNoiseReduction
Nonlinear time series prediction	nonLinearPrediction
Plot local scaling exponents	plotLocalScalingExp
Poincare map	poincareMap
Get the radius of the neighborhoods used for the computations of a chaotic invariant.	radius
Recurrence Plot	recurrencePlot
Rossler system	rossler
Recurrence Quantification Analysis (RQA)	rqa
Sample Entropy (also known as Kolgomorov-Sinai Entropy)	embeddingDims.sampleEntropy estimate.sampleEntropy nlOrder.sampleEntropy plot.sampleEntropy radius.sampleEntropy sampleEntropy sampleEntropyFunction.sampleEntropy
Returns the sample entropy function h_q(m,r) used for the computations of the sample entropy.	sampleEntropyFunction
Sinai map	sinaiMap
Space Time plot	contourLines.spaceTimePlot getContourLines.spaceTimePlot plot.spaceTimePlot spaceTimePlot
Surrogate data testing	surrogateTest
Threshold nonlinearity test	thresholdTest
Time Reversibility statistic	timeAsymmetry
Time Reversibility statistic	timeAsymmetry2
Estimate an appropiate time lag for the Takens' vectors	timeLag
Tsay's test	tsayTest
Returns the window sizes used for DFA in a _dfa_ object.	windowSizes