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rhplogp
2006 Mar 31
1
mutual information for two time series
...time series to datin, and lmax is the maximum lag to measure the
mutual information at. I hope to use it to set up optimal bivariate
embeddings but also to measure the strength of the relationship between the
time series
mutual2<-function(datin,lmax) {
library(KernSmooth)
lmax<-lmax+1
lhplogp<-numeric(100)
rhplogp<-numeric(100)
mut<-numeric(lmax)
jointplogp<-matrix(0,nrow=100,ncol=100)
lh<-as.vector(datin[,1])
rh<-as.vector(datin[,2])
rhemb<-embed(rh,lmax)
lhc<-lh[1:length(rhemb[,1])]
for (i in 1:lmax) {
rhc<-rhemb[,i]
kd<-bkd...