Transfer Entropy Expressions for a Class of Non-Gaussian Distributions

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...

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Bibliographic Details
Main Authors: Mehrdad Jafari-Mamaghani, Joanna Tyrcha
Format: Article
Language:English
Published: MDPI AG 2014-03-01
Series:Entropy
Subjects:
Granger causality
information theory
transfer entropy
multivariate distributions
power-law distributions
Online Access:http://www.mdpi.com/1099-4300/16/3/1743

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