BZPaper/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.

Getting started

Package details

Maintainer
LicenseGPL-3
Version0.2.10
URL https://github.com/BZPaper/RTransferEntropy
Package repositoryView on GitHub
Installation Install the latest version of this package by entering the following in R:
install.packages("remotes")
remotes::install_github("BZPaper/RTransferEntropy")
BZPaper/RTransferEntropy documentation built on July 6, 2019, 1:37 p.m.