NlinTS

Models for non-linear time series analysis and causality detection. The main functionalities of this package consist of an implementation of the classical causality test (C.W.J.Granger 1980) doi:10.1016/0165-1889(80)90069-X, and a non-linear version of it based on feed-forward neural networks. This package contains also an implementation of the Transfer Entropy doi:10.1103/PhysRevLett.85.461, and the continuous Transfer Entropy using an approximation based on the k-nearest neighbors doi:10.1103/PhysRevE.69.066138. There are also some other useful tools, like the VARNN (Vector Auto-Regressive Neural Network) prediction model, the Augmented test of stationarity, and the discrete and continuous entropy and mutual information.