Calculate the phase-space, distance matrix, and recurrence matrix of a time series

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更新 2016/4/11


This function uses Taken's method of delays to construct a phase-space representation of vector "x". It then calculates the euclidean distance matrix "D", and thresholds this matrix by "epsilon" to obtain the recurrence matrix (R). In addition, the time delay "tau", embedding dimension "emb", and threshold "epsilon" are all estimated if not provided by the user or left blank (refer to documentation in the function for details).
The recurrence matrix has information regarding the temporal relationship of the high-dimensional phase-space "A"...if there are many repeated trajectories over time, then the recurrence matrix will have many diagonal lines. There are many more sophisticated measurements that can be taken from the recurrence matrix, and many fantastic papers/posts can be found online.
This function is self-contained, i.e. it is not dependent on other functions that need to be downloaded.


Jordan Sorokin (2023). PhaseRecurr(x,varargin) (, MATLAB Central File Exchange. 取得済み .

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作成: R2013a
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バージョン 公開済み リリース ノート

improved "find_dist" efficiency to perform up to 3x faster

changed "smooth" to "filter" for tau estimation to remove the dependency on the curve fitting toolbox
fixed bug with recurrence density calculation
improved speed
improved speed when not calling 4 outputs
changed epsilon and embedding estimation to avoid the situation when tau*embedding > length of vector x