Entropy Based Analysis and Tests for Time Series
Class "Srho"
Entropy Measure Of Serial And Cross Dependence
Class "Srho.test"
Entropy Tests For Nonlinearity In Time Series - Parallel Version
Entropy Test For Serial And Cross Dependence For Categorical Sequences
Entropy Tests Of Serial And Cross Dependence For Time Series
Class "Srho.ts"
Entropy Measure Of Serial And Cross Dependence
Surrogate Time Series Through AR Modeling (Sieve Bootstrap)
Surrogate Time Series Through A Modeling (Smoothed Sieve Bootstrap)
Surrogate Time Series Through Simulated Annealing
Entropy Tests For Nonlinearity In Time Series - Parallel Version
Entropy Tests For Nonlinearity In Time Series - Parallel Version
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.