RTransferEntropy — Quantifying information flow between different time series using effective transfer entropy

Abstract

This paper shows how to quantify and test for the information flow between two time series with Shannon transfer entropy and Rényi transfer entropy using the R package RTransferEntropy. We discuss the methodology, the bias correction applied to calculate effective transfer entropy and outline how to conduct statistical inference. Furthermore, we describe the package in detail and demonstrate its functionality by means of several simulated processes and present an application to financial time series. Keywords: Shannon transfer entropy, Rényi transfer entropy, Effective transfer entropy, Bootstrap inference, R