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manual
2012 May 31
2
time-series statistics collection
...lity
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
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