CRAN
tseriesEntropy 0.6-0
Entropy Based Analysis and Tests for Time Series
Released Apr 15, 2017 by Simone Giannerini
This package cannot yet be used with Renjin it depends on other packages which are not available: ks 1.11.3
An older version of this package is
more compatible with Renjin.
Dependencies
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.