Calculation of Average Mutual Information (AMI) and False-Nearest Neighbors (FNN) for the Estimation of Embedding Parameters of Multidimensional Time Series in Matlab

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 $\tau$, and the embedding dimension parameter $D$. Two standard methods to estimate these parameters in on... View More