frappy 0.0.2

Python package for non subjectively calculating the correlation dimension from time series data

frappy

frappy (fractal and phase space analysis for python) is a Python package implementing a non subjective algorithm for calculating correlation dimensions from data.

This package currently contains functions for:

• Converting a time series into a uniform deviate through a rank transformation
• Embedding time series into a d-dimensional vector space
• Calculate correlation dimension at different embedding dimensions
• Calculate saturated correlation dimension and minimum embedding dimension using curve fitting

Acknowledgements

This work is an python implementation of the algorithm described in Harikrishnan, K. P., Misra, R., Ambika, G., & Kembhavi, A. K. (2006). A non-subjective approach to the GP algorithm for analysing noisy time series. Physica D: Nonlinear Phenomena, 215(2), 137-145.