Models for Non Linear Causality Detection in Time Series
Description
Models for non-linear time series analysis and causality detection. The main functionalities of this package consist of an implementation of the classical causality test (C.W.J.Granger 1980) , and a non-linear version of it based on feed-forward neural networks. This package contains also an implementation of the Transfer Entropy , and the continuous Transfer Entropy using an approximation based on the k-nearest neighbors . There are also some other useful tools, like the VARNN (Vector Auto-Regressive Neural Network) prediction model, the Augmented test of stationarity, and the discrete and continuous entropy and mutual information.