Library: | times |
See also: | corrint distance |
Quantlet: | gpplot | |
Description: | returns the Grassberger-Procaccia plot for time series |
Usage: | d = gpplot(x,m,k) | |
Input: | ||
x | vector | |
m | positive integer < 10 (embedding dimension) | |
k | positive integer (number of shuffles) | |
Output: | ||
d | display |
library("times") x=normal(100) d=gpplot(x,2,10)
GP plot of independent white noise
library("times") x=genarch(1|0.85,0.05,1000) grx=gpplot(x,2,10)
GP plot of GARCH(1,1)