R package RTransferEntropy: Measuring Information Flow Between Time Series with Shannon and Renyi Transfer Entropy. Measuring information flow between time series with Shannon and Rényi transfer entropy. See also Dimpfl and Peter (2013) <doi:10.1515/snde-2012-0044> and Dimpfl and Peter (2014) <doi:10.1016/j.intfin.2014.03.004> for theory and applications to financial time series. Additional references can be found in the theory part of the vignette.
Keywords for this software
References in zbMATH (referenced in 3 articles , 1 standard article )
Showing results 1 to 3 of 3.
- Chainarong Amornbunchornvej: mFLICA: An R package for Inferring Leadership of Coordination From Time Series (2020) arXiv
- Chainarong Amornbunchornvej, Elena Zheleva, Tanya Berger-Wolf: Variable-lag Granger Causality and Transfer Entropy for Time Series Analysis (2020) arXiv
- SimonBehrendt; ThomasDimpfl; Franziska J.Peter; David J.Zimmermann: RTransferEntropy - Quantifying information flow between different time series using effective transfer entropy (2019) not zbMATH