RTransferEntropy

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

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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Package
RTransferEntropy
Type
Package
Title
Measuring Information Flow Between Time Series with Shannon and Renyi Transfer Entropy
Version
0.2.8
Description
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.
License
GPL-3
URL
BugReports
https://github.com/BZPaper/RTransferEntropy/issues
Encoding
UTF-8
Depends
R (>= 3.1.2)
Imports
future, future.apply, Rcpp
LazyData
true
RoxygenNote
6.1.1
LinkingTo
Rcpp
Suggests
data.table, ggplot2, gridExtra, knitr, quantmod, rmarkdown, testthat, vars, xts, zoo
VignetteBuilder
knitr
NeedsCompilation
yes
Packaged
2019-03-12 15:42:49 UTC; david
Author
Simon Behrendt [aut, cre], David Zimmermann [aut], Thomas Dimpfl [aut], Franziska Peter [aut]
Maintainer
Simon Behrendt
Repository
CRAN
Date/Publication
2019-03-12 22:56:06 UTC

install.packages('RTransferEntropy')

0.2.8

10 days ago

https://github.com/BZPaper/RTransferEntropy

Simon Behrendt

GPL-3

Depends on

R (>= 3.1.2)

Imports

future, future.apply, Rcpp

Suggests

data.table, ggplot2, gridExtra, knitr, quantmod, rmarkdown, testthat, vars, xts, zoo

Discussions