tseriesEntropy: Entropy Based Analysis and Tests for Time Series

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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.

Author
Simone Giannerini
Date of publication
2015-07-04 09:52:03
Maintainer
Simone Giannerini <simone.giannerini@unibo.it>
License
GPL (>= 2)
Version
0.5-12

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Man pages

Srho
Entropy Measure Of Serial And Cross Dependence
Srho-class
Class "Srho"
Srho.test
Entropy Test For Serial And Cross Dependence For Categorical...
Srho.test.AR
Entropy Tests For Nonlinearity In Time Series
Srho.test.AR.p
Entropy Tests For Nonlinearity In Time Series - Parallel...
Srho.test-class
Class "Srho.test"
Srho.test.ts
Entropy Tests Of Serial And Cross Dependence For Time Series
Srho.ts
Entropy Measure Of Serial And Cross Dependence
Srho.ts-class
Class "Srho.ts"
surrogate.AR
Surrogate Time Series Through AR Modeling (Sieve Bootstrap)
surrogate.ARs
Surrogate Time Series Through A Modeling (Smoothed Sieve...
surrogate.SA
Surrogate Time Series Through Simulated Annealing
Trho.test.AR
Entropy Tests For Nonlinearity In Time Series
Trho.test.AR.p
Entropy Tests For Nonlinearity In Time Series - Parallel...
Trho.test.SA
Entropy Tests For Nonlinearity In Time Series
Trho.test.SA.p
Entropy Tests For Nonlinearity In Time Series - Parallel...

Files in this package

tseriesEntropy
tseriesEntropy/inst
tseriesEntropy/inst/CITATION
tseriesEntropy/src
tseriesEntropy/src/tseriesEntropy.f90
tseriesEntropy/NAMESPACE
tseriesEntropy/R
tseriesEntropy/R/Srho.ts.par_files.R
tseriesEntropy/R/Srho.ts_files.R
tseriesEntropy/R/Srho.test.R
tseriesEntropy/R/Srho.R
tseriesEntropy/MD5
tseriesEntropy/DESCRIPTION
tseriesEntropy/ChangeLog
tseriesEntropy/man
tseriesEntropy/man/Srho.ts.Rd
tseriesEntropy/man/Trho.test.AR.p.Rd
tseriesEntropy/man/surrogate.AR.Rd
tseriesEntropy/man/surrogate.ARs.Rd
tseriesEntropy/man/Srho.test-class.Rd
tseriesEntropy/man/Srho.test.AR.Rd
tseriesEntropy/man/Srho-class.Rd
tseriesEntropy/man/Srho.test.Rd
tseriesEntropy/man/Trho.test.AR.Rd
tseriesEntropy/man/Srho.test.AR.p.Rd
tseriesEntropy/man/Trho.test.SA.p.Rd
tseriesEntropy/man/Srho.test.ts.Rd
tseriesEntropy/man/Trho.test.SA.Rd
tseriesEntropy/man/surrogate.SA.Rd
tseriesEntropy/man/Srho.Rd
tseriesEntropy/man/Srho.ts-class.Rd