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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.
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github.com/BZPaper/RTransferEntropy | |
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