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: | 0.2.21 |
| 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: | 2023-02-01 |
| DOI: | 10.32614/CRAN.package.RTransferEntropy |
| 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 |