TransferEntropy: The Transfer Entropy Package
Version 1.4

Estimates the transfer entropy from one time series to another, where each time series consists of continuous random variables. The transfer entropy is an extension of mutual information which takes into account the direction of information flow, under the assumption that the underlying processes can be described by a Markov model. Two estimation methods are provided. The first calculates transfer entropy as the difference of mutual information. Mutual information is estimated using the Kraskov method, which builds on a nearest-neighbor framework (see package references). The second estimation method estimate transfer entropy via the a generalized correlation sum.

Package details

AuthorANN Library: David Mount, Sunil Arya (see src/ann_1.1.2/Copyright.txt). Transfer Entropy Packge: Ghazaleh Haratinezhad Torbati, Glenn Lawyer.
Date of publication2016-04-26 16:50:27
MaintainerGhazaleh Haratinezhad Torbati <[email protected]>
LicenseGPL (>= 2) | file LICENSE
Version1.4
URL https://github.com/Healthcast/TransEnt
Package repositoryView on CRAN
Installation Install the latest version of this package by entering the following in R:
install.packages("TransferEntropy")

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TransferEntropy documentation built on May 29, 2017, 11:38 p.m.