Models for nonlinear 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:10.1016/01651889(80)90069X>, and a nonlinear version of it based on feedforward 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 knearest neighbors <doi:10.1103/PhysRevE.69.066138>. There are also some other useful tools, like the VARNN (Vector AutoRegressive Neural Network) prediction model, the Augmented test of stationarity, and the discrete and continuous entropy and mutual information.
Package details 


Author  Youssef Hmamouche [aut, cre], Sylvain Barthelemy [cph] 
Maintainer  Youssef Hmamouche <[email protected]> 
License  GNU General Public License 
Version  1.3.7 
Package repository  View on CRAN 
Installation 
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