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.

Getting started

Package details

AuthorSimone Giannerini
MaintainerSimone Giannerini <[email protected]>
LicenseGPL (>= 2)
Package repositoryView on CRAN
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tseriesEntropy documentation built on May 30, 2017, 1:36 a.m.