nonlinearTseries

Overview

nonlinearTseries provides functions for nonlinear time series analysis. This package permits the computation of the most-used nonlinear statistics/algorithms including generalized correlation dimension, information dimension, largest Lyapunov exponent, sample entropy and Recurrence Quantification Analysis (RQA), among others. Basic routines for surrogate data testing are also included. The package is largely inspired by the book Nonlinear time series analysis by Holger Kantz and Thomas Schreiber.

Installation

# You can install the he latest released version from CRAN:
install.packages("nonlinearTseries")

# Or the the development version from GitHub:
devtools::install_github("constantino-garcia/nonlinearTseries")

Getting started

For a quick introduction to nonlinearTseries, see its vignette.

Citation

You can get information about citing nonlinearTseries using citation('nonlinearTseries') in an R session.