NlinTS (1.3.8)

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Models for Non Linear Causality Detection in Time Series.

Models for non-linear time series analysis and causality detection. The main functionalities of this package consist of an implementation of the classical causality test (C.W.J.Granger 1980) , and a non-linear version of it based on feed-forward neural networks. This package contains also an implementation of the Transfer Entropy , and the continuous Transfer Entropy using an approximation based on the k-nearest neighbors . There are also some other useful tools, like the VARNN (Vector Auto-Regressive Neural Network) prediction model, the Augmented test of stationarity, and the discrete and continuous entropy and mutual information.

Maintainer: Youssef Hmamouche
Author(s): Youssef Hmamouche [aut, cre], Sylvain Barthelemy [cph]

License: GNU General Public License

Uses: Rcpp, Rdpack, timeSeries

Released 4 months ago.

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