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.
| Version: |
0.2.14 |
| Depends: |
R (≥ 3.1.2) |
| Imports: |
future (≥ 1.19.0), future.apply, Rcpp |
| LinkingTo: |
Rcpp |
| Suggests: |
data.table, ggplot2, gridExtra, knitr, quantmod, rmarkdown, testthat, vars, xts, zoo |
| Published: |
2021-04-02 |
| Author: |
David Zimmermann [aut, cre],
Simon Behrendt [aut],
Thomas Dimpfl [aut],
Franziska Peter [aut] |
| Maintainer: |
David Zimmermann <david_j_zimmermann at hotmail.com> |
| BugReports: |
https://github.com/BZPaper/RTransferEntropy/issues |
| License: |
GPL-3 |
| URL: |
https://github.com/BZPaper/RTransferEntropy |
| NeedsCompilation: |
yes |
| Citation: |
RTransferEntropy citation info |
| Materials: |
README |
| In views: |
TimeSeries |
| CRAN checks: |
RTransferEntropy results |