Code to implement transfer entropy (Shannon)
library(RTransferEntropy)
set.seed(42)
dt <- data.table(series = rnorm(10000))
dt[, sample := code_sample(series)]
dt
#> series sample
#> 1: 1.3709584 2
#> 2: -0.5646982 2
#> 3: 0.3631284 2
#> 4: 0.6328626 2
#> 5: 0.4042683 2
#> ---
#> 9996: -0.5653259 2
#> 9997: -1.4819016 2
#> 9998: -0.2989931 2
#> 9999: 0.2146498 2
#> 10000: 0.7732340 2