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Transfer-Entropy

Code to implement transfer entropy (Shannon)

Usage

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

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Code to implement transfer entropy (Shannon and Renyi)

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