Transfer Entropy — te • infoxtr

Estimate the transfer entropy from agent variables to target variables.

Usage

te(
  data,
  target,
  agent,
  lag_p = 3,
  lag_q = 3,
  base = exp(1),
  type = c("cont", "disc"),
  k = 3,
  normalize = FALSE,
  lag_single = FALSE
)

Arguments

data: Observation data.
target: Integer vector of column indices for the target variables.
agent: Integer vector of column indices for the source (agent) variables.
lag_p: (optional) Lag of the target variables.
lag_q: (optional) Lag of the agent variables.
base: (optional) Logarithm base of the entropy. Defaults to exp(1) (nats). Use 2 for bits or 10 for dits.
type: (optional) Estimation method: "disc" for discrete entropy or "cont" for continuous entropy (KSG estimator).
k: (optional) Number of nearest neighbors used by the continuous estimator. Ignored when type = "disc".
normalize: (optional) Logical; if TRUE, return normalized mutual information.
lag_single: (optional) Logical; if FALSE, use full lag embedding.

Value

A numerical value.

Examples

set.seed(42)
infoxtr::te(matrix(stats::rnorm(100,1,10),ncol=2),1,2)
#> [1] 0.01700429