RTransferEntropy
Measuring Information Flow Between Time Series with Shannon and Renyi Transfer Entropy
v0.2.21
·
Feb 1, 2023
·
GPL-3
Description
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.
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