tseriesEntropy (0.6-0)

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.

Maintainer: Simone Giannerini
Author(s): Simone Giannerini

License: GPL (>= 2)

Uses: cubature, ks

Released over 2 years ago.