autoMutualInformation

a MATLAB wrapper script for a mex program to calculate auto-mutual information of a time series. This method is a non-linear alternative to auto-correlation function.

Files

• calcMutInfDelay.m -- a MATLAB wrapper script
• mexCalcMutInfDelay2D.c -- a MEX/C program

Calculates mutual information of the delayed time series for each delay.

Input

The script takes one to three arguments:

• X -- an N-dimensional array of time series, with the time running along the first dimension
  i.e. array size [ T x S1 x S2 x ... x SN ],
  where T is the number of time points
• tauMax (optional) -- the maximal time delay; (default: 20)
• bins (optional) -- number of bins

Output

• Z -- an array of the mutual information;
  the first dimension of Z is equal to (tauMax+1)
  with the corresponding timeline (0:1:tauMax)
  Uncomputeable time points are replaced with NaN
• t (optional) -- the lag-timeline: t = (0:1:tauMax)'

References

1. Andrew M. Fraser and Harry L. Swinney. "Independent coordinates for strange attractors from mutual information", Phys. Rev. A 33 (1986) 1134-1140.
2. Eric Weeks' page with the description of the modified algorithm

=============================== Author: Dmytro S. Lituiev (2013), University of Zurich, based on the Eric Weeks' C script (1997)