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remb
2006 Mar 31
1
mutual information for two time series
...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<-bkde2D(cbind(lhc,rhc),bandwidth=c(dpik(lhc),dpik(rhc)),gridsize=c(100,10
0),truncate=T)
#2d kernel density estimate in 2 dimensions)
kdmat<-as.matrix(kd$fhat)
for (j in 1:1...