RTransferEntropy (0.2.5)

Measuring Information Flow Between Time Series with Shannon and Renyi Transfer Entropy.


Measuring information flow between time series with Shannon and Rnyi 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.

Maintainer: Simon Behrendt
Author(s): Simon Behrendt [aut, cre], David Zimmermann [aut], Thomas Dimpfl [aut], Franziska Peter [aut]

License: GPL-3

Uses: future, future.apply, Rcpp, ggplot2, quantmod, vars, data.table, testthat, gridExtra, knitr, rmarkdown

Released about 1 year ago.