Transfer Entropy for Coupled Autoregressive Processes
A method is shown for computing transfer entropy over multiple time lags for coupled autoregressive processes using formulas for the differential entropy of multivariate Gaussian processes. Two examples are provided: (1) a first-order filtered noise process whose state is measured with additive nois...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2013-02-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/15/3/767 |