Choosing an Embedding Dimension
•Time-series ...x(t-3), x(t-2), x(t-1), x(t)...
•Task is to predict x(t) given some number of previous
values
•Take x(t) as output, and x(t-d),...,x(t-1) as inputs,
then run the Gamma Test
•Increase d
until the noise estimate reaches a local
minimum
•This value of d is
an estimate for the embedding
dimension