NormXASampEn | R Documentation |

Calculates the Normalized Cross Sample Entropy of the track records of two assets/strategies based on the sample entropy.

```
NormXASampEn(x, y, m = 2, r = 0.2)
```

`x` |
a vector containing the track record of the underlying asset/strategy, this will be normalized during the algorithm |

`y` |
a vector containing the track record of the underlying asset/strategy, this will be normalized during the algorithm |

`m` |
an integer value defining the embedding dimension , default value is 2 |

`r` |
a double value defining the tolerance, default value is 0.2 |

A value containing the NormXASampEn

Tasos Grivas <tasos@openriskcalculator.com>

Lopez de Prado, Marcos, Codependence (Presentation Slides) (January 2, 2020). Available at SSRN: https://ssrn.com/abstract=3512994

```
x = PerformanceAnalytics::edhec[,c("Short Selling")]
y = PerformanceAnalytics::edhec[,c("Convertible Arbitrage")]
Normalized_Cross_Sample_Entropy = NormXASampEn(x, y, m=2, r=0.2)
```

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