Calculation of average mutual information (AMI) and false-nearest neighbors (FNN) for the estimation of embedding parameters of multidimensional time series in matlab

  • 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 τ, 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.

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Author:Sebastian Wallot, Dan Mønster
Pubmed Id:
Parent Title (English):Frontiers in psychology
Publisher:Frontiers Research Foundation
Place of publication:Lausanne
Contributor(s):Holmes Finch
Document Type:Article
Year of Completion:2018
Date of first Publication:2018/09/10
Publishing Institution:Universitätsbibliothek Johann Christian Senckenberg
Release Date:2018/11/15
Tag:Multidimensional Recurrence Quantification Analysis; Multidimensional Time series; average mutual information; code:Matlab; false-nearest neighbors; time-delayed embedding
Issue:Art. 1679
Page Number:10
First Page:1
Last Page:10
Copyright © 2018 Wallot and Mønster. This is an open-access article distributed under the terms of the Creative Commons Attribution License (CC BY). The use, distribution or reproduction in other forums is permitted, provided the original author(s) and the copyright owner(s) are credited and that the original publication in this journal is cited, in accordance with accepted academic practice. No use, distribution or reproduction is permitted which does not comply with these terms.
Institutes:Psychologie und Sportwissenschaften / Psychologie
Angeschlossene und kooperierende Institutionen / MPI für empirische Ästhetik
Dewey Decimal Classification:1 Philosophie und Psychologie / 15 Psychologie / 150 Psychologie
Licence (German):License LogoCreative Commons - Namensnennung 4.0