期刊
SOFTWAREX
卷 10, 期 -, 页码 -出版社
ELSEVIER
DOI: 10.1016/j.softx.2019.100265
关键词
Shannon transfer entropy; Renyi transfer entropy; Effective transfer entropy; Bootstrap inference; R
资金
- German Research Foundation (Deutsche Forschungsgemeinschaft DFG)
- Open Access Publishing Fund of the University of Tubingen
This paper shows how to quantify and test for the information flow between two time series with Shannon transfer entropy and Renyi transfer entropy using the R package RTransferEntropy. We discuss the methodology, the bias correction applied to calculate effective transfer entropy and outline how to conduct statistical inference. Furthermore, we describe the package in detail and demonstrate its functionality by means of several simulated processes and present an application to financial time series. (C) 2019 The Authors. Published by Elsevier B.V.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据