spenra is a package for computing the specific differential entropy rate of a continuous-valued time series. It falls into a similar class of statistics as Approximate Entropy (ApEn), Sample Entropy (SampEn), and Permutation Entropy, and provides an estimate of the intrinsic uncertainty associated with a time series. spenra uses modern non-parametrics to tune itself to the geometry and memory of the time series.
The accompanying paper is here. It provides several worked examples.
The package can be installed with
devtools::install_github("ddarmon/spenra")
After installation, the package can be loaded into R using
library(spenra)
See the files demo-condstat.R and demo-lorenz.R for example usage of spenra.
If you use spenra in a scientific publication, please cite
Darmon, D. Specific Differential Entropy Rate Estimation for Continuous-Valued Time Series. Entropy 2016, 18, 190.