Models for non-linear time series analysis and causality detection. The main functionalities of this package consist of an implementation of the classical causality test (C.W.J.Granger 1980) <doi:10.1016/0165-1889(80)90069-X>, and a non-linear version of it based on feed-forward neural networks. This package contains also an implementation of the Transfer Entropy <doi:10.1103/PhysRevLett.85.461>, and the continuous Transfer Entropy using an approximation based on the k-nearest neighbors <doi:10.1103/PhysRevE.69.066138>. There are also some other useful tools, like the VARNN (Vector Auto-Regressive Neural Network) prediction model, the Augmented test of stationarity, and the discrete and continuous entropy and mutual information.
Package details |
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Author | Youssef Hmamouche [aut, cre] |
Maintainer | Youssef Hmamouche <hmamoucheyussef@gmail.com> |
License | GNU General Public License |
Version | 1.4.5 |
Package repository | View on CRAN |
Installation |
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