Parameter Notation |
Character |
Multiple values |
Range |
Default |
Description |
a |
yes |
integers >0 |
1 |
moving average filter
order, when smoothing the time series for the detection of turning
points |
b |
yes |
integers >0 |
0 |
number of bins when
partitioning the time series range, if b=0 then it is determined by the
criterion b=sqrt(n) |
c |
yes |
[0, 1] |
0.5 |
correlation sum, for
finding the radius given the correlation sum. |
e |
no |
integer
≥ 2 |
10 |
escape factor, for
assessing the false nearest neighbors |
f |
no |
[0.1, 0.9] |
0.5 |
fraction for the test
set, e.g. f=0.3 indicates that the test set is 0.3 times the time series
length |
g |
no |
integer
≥ 0 |
0 |
Theiler's window, to
exclude temporally correlated points from the set of neighboring points |
h |
no |
integers >0 |
1 |
lead time for fitting
and prediction |
k |
yes |
integers >0 |
1 |
number of nearest
neighbors |
l |
no |
[0, 0.5] |
multiple cases |
lower band frequency,
for the computation of energy in frequency bands (assuming that the
sampling frequency is one) |
m |
yes |
integers >0 |
1 |
embedding dimension or
AR model order |
o |
no |
integers
≥ 10 |
100 |
number of radii for the
computation of the correlation sum in the correlation dimension
estimation, low resolution
(small 'o' facilitates the computation at the cost of accuracy) |
p |
yes |
integers >0 |
1 |
order of the moving
average part in ARMA |
q |
no |
integer
≥ 0 |
0 |
truncation parameters,
q=0 for local average map, q<m for PCR solution of the local linear
model parameters, q=m for standard OLS solution of the local linear
model parameters |
r |
yes |
[0, 1] |
0.1 |
radius for the
computation of the correlation sum (the time series is standardized in
[0,1]). |
s |
yes |
integers >0 |
4 |
upper/lower ratio of scaling window,
i.e. s=r2/r1, where r2-r1 is the length of the scaling window |
t |
yes |
integers >0 |
1 |
delay |
u |
no |
[0, 0.5] |
multiple cases |
upper band frequency,
for the computation of energy in frequency bands (assuming that the
sampling frequency is one). Note that it should hold u>l. |
w |
yes |
integers >0 |
1 |
offset for the local
window, the local window has length 2*w+1 and it is used for the
detection of turning points |