tseriesEntropy

MaRDI QIDQ37761swMATHCRANFDO

Authors 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

Official website https://cran.r-project.org/web/packages/tseriesEntropy/index.html

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

(7)

• Nonlinear time series analysis with R
• multispatialCCM
• tseriesChaos
• Rssa
• crqa
• pdc
• dCovTS

This page was built for software: tseriesEntropy