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Information-theoretic measures for nonlinear causality detection: application to social media sentiment and cryptocurrency prices
Information transfer between time series is calculated using the asymmetric information-theoretic measure known as transfer entropy. Geweke’s autoregressive formulation of Granger causality is used to compute linear transfer entropy, and Schreiber’s general, non-parametric, information-theoretic for...
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| Publicado no: | R Soc Open Sci |
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| Main Authors: | , |
| Formato: | Artigo |
| Idioma: | Inglês |
| Publicado em: |
The Royal Society
2020
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| Assuntos: | |
| Acesso em linha: | https://ncbi.nlm.nih.gov/pmc/articles/PMC7540793/ https://ncbi.nlm.nih.gov/pubmed/33047046 https://ncbi.nlm.nih.govhttp://dx.doi.org/10.1098/rsos.200863 |
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