distance_matrix_PMIME {AnomalyScore} | R Documentation |
Pairwise distance matrix based on the partial mutual information of mixed embedings (PMIME) method
Description
Pairwise distance matrix based on the partial mutual information of mixed embedings (PMIME) method
Usage
distance_matrix_PMIME(unit, Lmax, Tl, nnei, A)
Arguments
unit |
A matrix representing a multivariate time series where each column is a univariate time series. |
Lmax |
: the maximum delay to search for X and Y components for the mixed embedding vector ,default is 5. |
Tl |
: Tl steps ahead that the mixed embedding vector has to explain. Note that if Tl>1 the future vector is of length Tl and contains the samples at times t+1,..,t+Tl ,dafault is 1. |
nnei |
: number of nearest neighbors for density estimation ,default is 5 |
A |
: the threshold for the ratio of CMI over MI of the lagged variables for the termination criterion. |
Value
a matrix with pairwise distances
See Also
Kugiumtzis, D. "Direct-Coupling Information Measure from Nonuniform Embedding." Physical Review E 87, no. 6 (June 25, 2013): 062918. doi:10.1103/PhysRevE.87.062918
Examples
X=matrix( rnorm(300), ncol=3 )
Lmax=2
Tl=1
nnei=5
A=.95
distance_matrix_PMIME(unit=X, Lmax, Tl, nnei, A )