The MLDK2SIM program, for the CONVEX, performs Monte Carlo
trials of dimension and entropy estimates. These are estimated
using distances drawn from the proposed distribution. This is
done using the NAG [Numerical Algorithms Group, 1983] random number generator.
The routine G05CCF puts the generator in a non-repeatable state
using the system clock (8640000 different states).
Uniformly distributed noise is then obtained with
is distributed as desired since (see also [Hogg and Craig, 1978, p.127])
distances are drawn, and the numbers , and
determined. This is done for
two values of ; they are computed from the specified entropy,
time delay, embedding dimension and offset .
The ``single'' and ``double'' dimensions and entropies are estimated.
After repeating this procedure, sample means and variances are
estimated together with confidence intervals.
The value of in eq. (5.69) is
computed using NAG routine G01CEF.
The variances are multiplied by so that these
quantities should converge to a constant value, i.e. the
Cramér-Rao lower bound times (Eqs (5.37),
(5.53) and (5.55)).