tseriesEntropy: Entropy Based Analysis and Tests for Time Series

Implements an Entropy measure of dependence based on the Bhattacharya-Hellinger-Matusita distance. Can be used as a (nonlinear) autocorrelation/crosscorrelation function for continuous and categorical time series. The package includes tests for serial dependence and nonlinearity based on it. Some routines have a parallel version that can be used in a multicore/cluster environment. The package makes use of S4 classes.

Install the latest version of this package by entering the following in R:
install.packages("tseriesEntropy")
AuthorSimone Giannerini
Date of publication2017-04-15 20:31:49 UTC
MaintainerSimone Giannerini <simone.giannerini@unibo.it>
LicenseGPL (>= 2)
Version0.6-0

View on CRAN

Functions

plot,Srho,missing-method Man page
plot,Srho.test,missing-method Man page
show,Srho-method Man page
show,Srho.test-method Man page
show,Srho.ts-method Man page
Srho Man page
Srho-class Man page
Srho.test Man page
Srho.test.AR Man page
Srho.test.AR.p Man page
Srho.test-class Man page
Srho.test.ts Man page
Srho.test.ts.p Man page
Srho.ts Man page
Srho.ts-class Man page
surrogate.AR Man page
surrogate.ARs Man page
surrogate.SA Man page
Trho.test.AR Man page
Trho.test.AR.p Man page
Trho.test.SA Man page
Trho.test.SA.p Man page

Questions? Problems? Suggestions? or email at ian@mutexlabs.com.

Please suggest features or report bugs with the GitHub issue tracker.

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