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.
The package can be installed with
After installation, the package can be loaded into R using
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.