[R] false.nearest on tseriesChaos
Norma Elizabeth Quiroz Pérez
nqu|rozp @end|ng |rom hotm@||@com
Mon Jan 4 08:07:48 CET 2021
Dear all:
I am new in R and in Analysis of Chaotic Time Series. I have seen that the package tseriesChaos
can estimate the embedding dimension using the FNN. In this program false.nearest does the work,
but to use it, I need the escape factor(rt) and the neighborhood diameter (eps = sd(x)/10).
My problem is that I do not understand the definitions of these parameters.
I have read Kennel, Brown, and Abarbanel�s paper. There the authors suggest two criteria for the embedding dimension looking at the FNN. One is the ratio between the distances in d and d+1 dimensions, respectively. If such ratio is bigger than a threshold R_tol, then one has a false neighbor.
The second criterio is that R_{d+1} > A_{tol} x fractal size then one has a FNN.
What these thresholds R_{tol} and A_{tol} have to do with the escape factor and the eps?
I hope someone can help me.
Thanks
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