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.

AuthorSimone Giannerini
Date of publication2015-07-04 09:52:03
MaintainerSimone Giannerini <simone.giannerini@unibo.it>
LicenseGPL (>= 2)

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