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.

Package details

AuthorDavid Zimmermann [aut, cre], Simon Behrendt [aut], Thomas Dimpfl [aut], Franziska Peter [aut]
MaintainerDavid Zimmermann <david_j_zimmermann@hotmail.com>
LicenseGPL-3
Version0.2.21
URL https://github.com/BZPaper/RTransferEntropy
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("RTransferEntropy")

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RTransferEntropy documentation built on Feb. 16, 2023, 9:28 p.m.