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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.
Package details |
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Author | David Zimmermann [aut, cre], Simon Behrendt [aut], Thomas Dimpfl [aut], Franziska Peter [aut] |
Maintainer | David Zimmermann <david_j_zimmermann@hotmail.com> |
License | GPL-3 |
Version | 0.2.21 |
URL | https://github.com/BZPaper/RTransferEntropy |
Package repository | View on CRAN |
Installation |
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