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 and cross 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.

Getting started

Package details

AuthorSimone Giannerini [aut, cre] (<https://orcid.org/0000-0002-0710-668X>)
MaintainerSimone Giannerini <simone.giannerini@unibo.it>
LicenseGPL (>= 2)
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:

Try the tseriesEntropy package in your browser

Any scripts or data that you put into this service are public.

tseriesEntropy documentation built on Aug. 10, 2023, 1:06 a.m.