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Project Information
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tseriesChaos is an R package for the analysis of nonlinear time series mainly motivated by chaos theory. You can install from a CRAN mirror near you by typing, at the R prompt: > install.packages('tseriesChaos', dep=TRUE) Its developement was initially inspired by the TISEAN project. Currently, the 0.1-7 version is out, and mainly includes explorative methods. Among others: - Kantz method for Maximal Lyapunov Exponent (MLE) estimation
- efficient correlation integral computation for estimating fractal dimension
- false nearest neighbours
- space-time separation plots
- recurrence plots
- grid-based average mutual information computation
ForthcomingA new, completely revised and extended version of the package supported by the PRIN project coordinated by Estela Bee Dagum, Statistics Department, University of Bologna. The new version will include: - Statistical tests for chaos based on Lyapunov exponents estimation with different methods available:
- Kantz method, resampled version (Giannerini and Rosa, Physica D (2001));
- Neural Network, asymptotic version (Shintani and Linton, J. Econometrics (2005));
- Local Lyapunov exponents estimation
- Extension to the stochastic case of Lyapunov Exponents: measures of sensitivity to initial conditions of the conditional mean (Yao and Tong JRSS B (1994)) and of the conditional distribution (Fan, Yao and Tong, Biometrika (1996)), see also Giannerini and Rosa SNDE (2004).
- Entropy based tests for nonlinearity (Granger, Maasoumi & Racine JTSA 2004, Giannerini, Maasoumi & Bee Dagum forthcoming).
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