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 |
| Reference manual: | RTransferEntropy.pdf |
| Vignettes: |
RTransferEntropy (source, R code) |
| Package source: | RTransferEntropy_0.2.21.tar.gz |
| Windows binaries: | r-devel: RTransferEntropy_0.2.21.zip, r-release: RTransferEntropy_0.2.21.zip, r-oldrel: RTransferEntropy_0.2.21.zip |
| macOS binaries: | r-devel (arm64): RTransferEntropy_0.2.21.tgz, r-release (arm64): RTransferEntropy_0.2.21.tgz, r-oldrel (arm64): RTransferEntropy_0.2.21.tgz, r-devel (x86_64): RTransferEntropy_0.2.21.tgz, r-release (x86_64): RTransferEntropy_0.2.21.tgz, r-oldrel (x86_64): RTransferEntropy_0.2.21.tgz |
| Old sources: | RTransferEntropy archive |
| Reverse depends: | VLTimeCausality |
| Reverse suggests: | inferCSN |
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