ami and correlation (Scripts) Publisher's description
from Durga Lal Shrestha
AMI computes and plots average mutual information (ami) and correlation of univariate or bivariate time series for different values of time lag
AMI computes and plots average mutual information (ami) and correlation of univariate or bivariate time series for different values of time lag.
[amis corrs] = ami(xy,nBins,nLags)
xy: either univariate (x) or bivariate ([x y]) time series data. If bivariate time series are given then x should be independent variable and y should be dependent variable. If univariate time series is given then autocorrelation is calculated instead of cross correlation.
nBins: number of bins for time series data to compute distribution which is required to compute ami. nBins should be either vector of 2 elements (for bivariate) or scalar (univariate).
nLags: number of time lags to compute ami and correlation. Computation is done for lags values of 0:nLags.
amis: vector of average mutual information for time lags of 0:nLags
corrs: vector of correlation (or autocorrelation for univariate time seris) for time lags of 0:nLags
xy = rand(1000,2);
nBins = [15 10];
nLags = 25;
[amis corrs]= ami(xy,nBins,nLags);
System Requirements:MATLAB 7.0.1 (R14SP1)
Program Release Status: New Release
Program Install Support: Install and Uninstall