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tseriesEntropy (version 0.5-12)

Entropy Based Analysis and Tests for Time Series

Description

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.

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Version

Install

install.packages('tseriesEntropy')

Monthly Downloads

212

Version

0.5-12

License

GPL (>= 2)

Maintainer

Simone Giannerini

Last Published

July 4th, 2015

Functions in tseriesEntropy (0.5-12)

Srho

Entropy Measure Of Serial And Cross Dependence
Srho-class

Class "Srho"
Srho.ts-class

Class "Srho.ts"
Trho.test.AR

Entropy Tests For Nonlinearity In Time Series
surrogate.AR

Surrogate Time Series Through AR Modeling (Sieve Bootstrap)
Srho.test.ts

Entropy Tests Of Serial And Cross Dependence For Time Series
surrogate.SA

Surrogate Time Series Through Simulated Annealing
surrogate.ARs

Surrogate Time Series Through A Modeling (Smoothed Sieve Bootstrap)
Trho.test.SA.p

Entropy Tests For Nonlinearity In Time Series - Parallel Version
Srho.test.AR.p

Entropy Tests For Nonlinearity In Time Series - Parallel Version
Trho.test.AR.p

Entropy Tests For Nonlinearity In Time Series - Parallel Version
Srho.ts

Entropy Measure Of Serial And Cross Dependence
Srho.test.AR

Entropy Tests For Nonlinearity In Time Series
Srho.test

Entropy Test For Serial And Cross Dependence For Categorical Sequences
Srho.test-class

Class "Srho.test"
Trho.test.SA

Entropy Tests For Nonlinearity In Time Series