Department of Economics and Business Economics

Calculation of average mutual information (AMI) and false-nearest neighbors (FNN) for the estimation of embedding parameters of multidimensional time-series in Matlab

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  • Sebastian Wallot, Max-Planck-Institut für empirische Ästhetik, Germany
  • Dan Mønster

Using the method or time-delayed embedding, a signal can be embedded into higher-dimensional space in order to study its dynamics. This requires knowledge of two parameters: The delay parameter t, and the embedding dimension parameter D. Two standard methods to estimate these parameters in one-dimensional time series involve the inspection of the Average Mutual Information (AMI) function and the False Nearest Neighbor (FNN) function. In some contexts, however, such as phase-space reconstruction for Multidimensional Recurrence Quantification Analysis (MdRQA), the empirical time series that need to be embedded already possess a dimensionality higher than one. In the current article, we present extensions of the AMI and FNN functions for higher dimensional time series and their application to data from the Lorenz system coded in Matlab.

Original languageEnglish
Article number1679
JournalFrontiers in Psychology
Number of pages10
Publication statusPublished - 10 Sep 2018

    Research areas

  • BEHAVIOR, CONSTRAINTS, COORDINATION, DELAYS, DIMENSION, DYNAMICS, JOINT ACTION, Multidimensional Recurrence Quantification Analysis, Multidimensional Time series, PHASE-SPACE RECONSTRUCTION, STRANGE ATTRACTORS, SYSTEMS, average mutual information, code:Matlab, false-nearest neighbors, time-delayed embedding

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