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.
- Version0.2.21
- R version≥ 3.1.2
- LicenseGPL-3
- Needs compilation?Yes
- RTransferEntropy citation info
- Last release02/01/2023
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Team
David Zimmermann
Simon Behrendt
Show author detailsRolesAuthorThomas Dimpfl
Show author detailsRolesAuthorFranziska Peter
Show author detailsRolesAuthor
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