te_disc {NlinTS}

Discrete Transfer Entropy

Description

Discrete Transfer Entropy

Usage

te_disc(X, Y, p = 1, q = 1, log = "log2", normalize = FALSE)

Arguments

X

Integer vector, first time series.

Y

Integer vector, the second time series.

p

Integer, the lag parameter to use for the first vector (p = 1 by default).

q

Integer, the lag parameter to use for the first vector (q = 1 by default)..

log

String argument in the set ("log2", "loge","log10"), which indicates the log function to use. The log2 is used by default.

normalize

Logical argument for the option of normalizing the value of TE (transfer entropy) (FALSE by default). This normalization is done by deviding TE by H (X(t)| X(t-1), ..., X(t-p)), where H is the Shanon entropy.

Details

Computes the Transfer Entropy from the second time series to the first one.

References

Schreiber T (2000). “Measuring Information Transfer.” Physical Review Letters, 85(2), 461-464. doi: 10.1103/PhysRevLett.85.461.

Examples

library (NlinTS)
te = te_disc (c(3,2,4,4,3), c(1,4,4,3,3), 1, 1)
print (te)