Hello,
I am trying to collect several global measures or statistics for
time-series as well as packages of R that can compute them. I have found
several of them in papers and books, but the literature is so big i am sure
i am missing several of them.
skewness
kurtosis
min
max
mean
SD
trend
seasonality
periodicity
chaos (Lyapunov Exponent) / Largest Lyapunov Exponent (i think is the same
statistic)
serial correlation / auto-correlation (this is the same if i am correct
Box-Pierce autocorrelation sum)
higher-order autocorrelation
nonlinearity (terasvirta test)
self similarity (Hurst exponent)
matual information sum
any other statistics that i am missing? Maybe other useful tests?
or books/papers that i could find more?
also any packages that can compute some/all of them?
Best,
PA
[[alternative HTML version deleted]]
______________________________________________
R-help@r-project.org mailing list
https://stat.ethz.ch/mailman/listinfo/r-help
PLEASE do read the posting guide http://www.R-project.org/posting-guide.html
and provide commented, minimal, self-contained, reproducible code.
