tseriesEntropy: 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.

Version: 0.5-12
Depends: R (≥ 2.14.0)
Imports: cubature, methods, parallel, stats, graphics
Published: 2015-07-04
Author: Simone Giannerini
Maintainer: Simone Giannerini <simone.giannerini at unibo.it>
License: GPL-2 | GPL-3 [expanded from: GPL (≥ 2)]
NeedsCompilation: yes
Citation: tseriesEntropy citation info
Materials: ChangeLog
In views: TimeSeries
CRAN checks: tseriesEntropy results

Downloads:

Reference manual: tseriesEntropy.pdf
Package source: tseriesEntropy_0.5-12.tar.gz
Windows binaries: r-devel: tseriesEntropy_0.5-12.zip, r-release: tseriesEntropy_0.5-12.zip, r-oldrel: tseriesEntropy_0.5-12.zip
OS X Snow Leopard binaries: r-release: tseriesEntropy_0.5-12.tgz, r-oldrel: not available
OS X Mavericks binaries: r-release: tseriesEntropy_0.5-12.tgz