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Function File: output = lfo_run (S)
Function File: output = lfo_run (S, paramName, paramValue, …)

This function depending on whether switch ’zeroth’ is set produces either a local linear ansatz or a zeroth order ansatz for a possibly multivariate time series and iterates an artificial trajectory. The initial values for the trajectory are the last points of the original time series. Thus it actually forecasts the time series.

Input

S

This function always assumes that each time series is along the longer dimension of matrix S. It also assumes that every dimension (counting along the shorter dimension) of S is considered a component of the time series.

Parameters

m

The embedding dimension used. It is synonymous to the second part of flag ’-m’ from TISEAN. The first part of the TISEAN flag is omitted as all of the available components of S are analyzed [default = 1].

d

Delay used for the embedding [default = 1].

L

Number of iterations into the future, length of prediction [default = 1000].

k

Minimal number of neighbors for the fit [default = 30].

r

Neighborhood size to start with [default = 1e-3].

f

Factor to increase neighborhood size if not enough neighbors were found [default = 1.2].

Switch

zeroth

Perform a zeroth order fit instead a local linear one. This is synonymous with flag ’-0’ from TISEAN.

Output

Components of the forecasted time series.

See also: lfo_test, lfo_ar, lzo_run.

Algorithms

The algorithms for this functions have been taken from the TISEAN package.

Package: tisean