Transfer Entropy Expressions for a Class of Non-Gaussian Distributions
Transfer entropy is a frequently employed measure of conditional co-dependence in non-parametric analysis of Granger causality. In this paper, we derive analytical expressions for transfer entropy for the multivariate exponential, logistic, Pareto (type I – IV) and Burr distributions. The latter two...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2014-03-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/16/3/1743 |