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joint
2006 Mar 31
1
mutual information for two time series
...for (j in 1:100){
for (k in 1:100) {
#finding joint probability
p<-kdmat[j,k]
jointplogp[j,k]<-p*log(p)
}
}
jointplogp[is.nan(jointplogp)]<-0
#sum of joint probabilities
hjoint<-sum(jointplogp)*-1
mut[i]<-hlh+hrh-hjoint
#classic defn of mutual information
maint<-paste("MI by Kernel Density is ",as.character(mut[i]))
rhlab<-paste("rh lag ",as.character(i))
xlabl<-"lh"
contour(kd$x1,kd$x2,kd$fhat,xlab=xlabl,ylab=rhlab...