Entropy Based Analysis and Tests for Time Series

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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install.packages("tseriesEntropy")

0.6-0 by Simone Giannerini, 5 years ago


Browse source code at https://github.com/cran/tseriesEntropy


Authors: Simone Giannerini


Documentation:   PDF Manual  


Task views: Time Series Analysis


GPL (>= 2) license


Imports cubature, methods, parallel, stats, graphics, ks


See at CRAN