Introduction to RTransferEntropy | Measuring information flows using transfer entropy | The RTransferEntropy package | Functionality | Simulated series I | Simulated series II | Simulated series III | Application to financial time series | Parallel execution | Comparison with existing package | References
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:
RTransferEntropy_0.2.21.tar.gz
RTransferEntropy_0.2.21.zip(r-4.7)RTransferEntropy_0.2.21.zip(r-4.6)RTransferEntropy_0.2.21.zip(r-4.5)
RTransferEntropy_0.2.21.tgz(r-4.6-x86_64)RTransferEntropy_0.2.21.tgz(r-4.6-arm64)RTransferEntropy_0.2.21.tgz(r-4.5-x86_64)RTransferEntropy_0.2.21.tgz(r-4.5-arm64)
RTransferEntropy_0.2.21.tar.gz(r-4.7-arm64)RTransferEntropy_0.2.21.tar.gz(r-4.7-x86_64)RTransferEntropy_0.2.21.tar.gz(r-4.6-arm64)RTransferEntropy_0.2.21.tar.gz(r-4.6-x86_64)
RTransferEntropy_0.2.21.tgz(r-4.6-emscripten)
manual.pdf |manual.html✨
DESCRIPTION
card.svg |card.png
RTransferEntropy/json (API)
| # Install 'RTransferEntropy' in R: |
| install.packages('RTransferEntropy', repos = c('https://bzpaper.r-universe.dev', 'https://cloud.r-project.org')) |
Bug tracker:https://github.com/bzpaper/rtransferentropy/issues
Datasets:
- stocks - Daily stock data for 10 stocks from 2000-2017
Last updated from:c6037d2859. Checks:13 OK. Indexed: yes.
| Target | Result | Time | Files | Syslog |
|---|---|---|---|---|
| linux-devel-arm64 | OK | 140 | ||
| linux-devel-x86_64 | OK | 146 | ||
| source / vignettes | OK | 255 | ||
| linux-release-arm64 | OK | 123 | ||
| linux-release-x86_64 | OK | 142 | ||
| macos-release-arm64 | OK | 190 | ||
| macos-release-x86_64 | OK | 290 | ||
| macos-oldrel-arm64 | OK | 164 | ||
| macos-oldrel-x86_64 | OK | 247 | ||
| windows-devel | OK | 127 | ||
| windows-release | OK | 112 | ||
| windows-oldrel | OK | 144 | ||
| wasm-release | OK | 117 |
Exports:calc_etecalc_teis.transfer_entropyset_quiettransfer_entropy
Dependencies:codetoolsdigestfuturefuture.applyglobalslistenvparallellyRcpp
Readme and manuals
Help Manual
| Help page | Topics |
|---|---|
| Calculates the Effective Transfer Entropy for two time series | calc_ete |
| Calculates the Transfer Entropy for two time series | calc_te |
| Extract the Coefficient Matrix from a transfer_entropy | coef.transfer_entropy |
| Checks if an object is a transfer_entropy | is.transfer_entropy |
| Prints a transfer-entropy result | print.transfer_entropy |
| Set the quiet-parameter for all RTransferEntropy Calls | set_quiet |
| Daily stock data for 10 stocks from 2000-2017 | stocks |
| Prints a summary of a transfer-entropy result | summary.transfer_entropy |
| Function to estimate Shannon and Renyi transfer entropy between two time series x and y. | transfer_entropy |