tseriesEntropy

swMATH26028CRANtseriesEntropyMaRDI QIDQ37761FDOQ37761

Entropy Based Analysis and Tests for Time Series

Simone Giannerini

Last update: 9 August 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.6-0, 0.5-12, 0.7-2

Source code repository: https://github.com/cran/tseriesEntropy

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 and cross 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.

Cited In (1)

• Nonlinear Time Series Analysis with R

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