Package: RTransferEntropy 0.2.21

David Zimmermann

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.

Authors:David Zimmermann [aut, cre], Simon Behrendt [aut], Thomas Dimpfl [aut], Franziska Peter [aut]

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RTransferEntropy.pdf |RTransferEntropy.html
RTransferEntropy/json (API)

# Install 'RTransferEntropy' in R:
install.packages('RTransferEntropy', repos = c('https://bzpaper.r-universe.dev', 'https://cloud.r-project.org'))

Peer review:

Bug tracker:https://github.com/bzpaper/rtransferentropy/issues

Uses libs:
  • c++– GNU Standard C++ Library v3
Datasets:
  • stocks - Daily stock data for 10 stocks from 2000-2017

On CRAN:

6.61 score 19 stars 1 packages 48 scripts 618 downloads 1 mentions 5 exports 8 dependencies

Last updated 2 years agofrom:c6037d2859. Checks:OK: 9. Indexed: yes.

TargetResultDate
Doc / VignettesOKOct 13 2024
R-4.5-win-x86_64OKOct 13 2024
R-4.5-linux-x86_64OKOct 13 2024
R-4.4-win-x86_64OKOct 13 2024
R-4.4-mac-x86_64OKOct 13 2024
R-4.4-mac-aarch64OKOct 13 2024
R-4.3-win-x86_64OKOct 13 2024
R-4.3-mac-x86_64OKOct 13 2024
R-4.3-mac-aarch64OKOct 13 2024

Exports:calc_etecalc_teis.transfer_entropyset_quiettransfer_entropy

Dependencies:codetoolsdigestfuturefuture.applyglobalslistenvparallellyRcpp

RTransferEntropy

Rendered fromtransfer-entropy.Rmdusingknitr::rmarkdownon Oct 13 2024.

Last update: 2023-01-31
Started: 2018-05-02