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First of all you have to install the package tseriesChaos, which is a R package and not a regular Sage package.

As far as I know, to install R packages you need to have compiled version of sage. You go to Sage website, download source, follow the instructions, wait for a while (depending on your hardware) and that's all. Then type:

sage: r.install_packages('tseriesChaos')

and the package will install downloading and compiling packages automatically. The final message will be

Please restart Sage in order to use 'tseriesChaos'.

so restart Sage. After that load the library

sage: r.library('tseriesChaos')

and it should load without problems.

In my opinion, if you just want to use the 'tseriesChaos' package it might be easier to use R directly. With the steps above you, after doing "sage -R" from the shell you can do the following example from tseriesChaos package:

annaquim@aljibe:~$ sage -R

> require(tseriesChaos)
Loading required package: tseriesChaos
Loading required package: odesolve
> output <-lyap_k(lorenz.ts, m=3, d=2, s=200, t=40, ref=1700, k=2, eps=4)
Finding nearests
Keeping  1700  reference points
Following points
> plot(output)
> lyap(output, 0.73, 2.47)
(Intercept)      lambda 
  0.1185032   0.7123131

You can also consider reprogramming the routines using sage or the included numpy/scipy.