RTransferEntropy: Measuring Information Flow Between Time Series with Shannon and Renyi Transfer Entropy
David Zimmermann, Simon Behrendt, Thomas Dimpfl, Franziska Peter · 2018
Measuring information flow between time series with Shannon and Rényi transfer entropy. See also Dimpfl and Peter (2013) and Dimpfl and Peter (2014) for theory and applications to financial time series. Additional references can be found in the theory part of the vignette.