measstatdepend.m

％ Measure Statistical Dependence 统计依赖测量 ％ 两个时间序列间统计依赖性测量 ％ 参考文献：时间序列间统计依赖性测量的一种改进方法（王海燕 李 文① 陈文彦）

function [I2XY,I2MaxXY] = MeasStatDepend(X,Y)
% Measure Statistical Dependence 统计依赖测量
% 两个时间序列间统计依赖性测量
% 参考文献：时间序列间统计依赖性测量的一种改进方法（王海燕 李 文① 陈文彦）
 if length(X)~=length(Y)
    error('两个向量长度必须相等!');
 end;
 Z(1,:) = X;
 Z(2,:) = Y;
N = length(X);
delta = (mean(X)+mean(Y))/10;
w=N*(N-1);
C2XY = 0;
C2X = 0;
C2Y = 0;
K2XY = 0;
HX = 0;
HY = 0;
HK = 0;
for i = 1:N
    for j = 1:N
        if i~=j
           d1 = Z(:,i);
           d2 = Z(:,j);
           C2XY = C2XY + heaviside(delta-distance1(d1,d2));
           d1 = X(:,i);
           d2 = X(:,j);
           HX = heaviside(delta-distance1(d1,d2));
           C2X = C2X + HX;
           d1 = Y(:,i);
           d2 = Y(:,j);
           HY = heaviside(delta-distance1(d1,d2));
           C2Y = C2Y + HY;
           K2XY = K2XY + (HX*HY);
        end;
        for k = 1:N
            if i~=k
               d1 = Y(:,i);
               d2 = Y(:,k);
               HK = heaviside(delta-distance1(d1,d2));
               K2XY = K2XY + (HX*HK);
            end;
        end;
    end;
end;
C2XY = C2XY/w;
C2X = C2X/w;
C2Y = C2Y/w;
K2XY = K2XY/(N*(N-1)^2);

I2XY = LOG2(C2XY/(C2X*C2Y)+2*(1-K2XY/(C2X*C2Y)));
I2MaxXY = min([log2(1/C2X) log2(1/C2Y)]); 
 
function result = heaviside(arg1)
 % Hevaside函数
 if arg1 < 0 
   result = 0;
 else
   result = 1;
end;

function dist = distance1(X,Y)
 % 欧拉距离计算
 if length(X)~=length(Y)
    error('两个向量长度必须相等!');
 end;
 dist = sqrt(sum((X-Y).^2));