tseriesEntropy (Q37761)
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Entropy Based Analysis and Tests for Time Series
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | tseriesEntropy |
Entropy Based Analysis and Tests for Time Series |
Statements
9 August 2023
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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.
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expanded from: GPL (≥ 2) (English)
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