A R implementation of specific entropy rate estimation routines.
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DESCRIPTION
LICORS
NAMESPACE
README.md
demo-condstat.R
demo-lorenz.R
np
spenra.Rproj

README.md

spenra

What is spenra?

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.

Installation

The package can be installed with

devtools::install_github("ddarmon/spenra")

After installation, the package can be loaded into R using

library(spenra)

Using 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.