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Estimating Conditional Transfer Entropy in Time Series Using Mutual Information and Nonlinear Prediction

We propose a new estimator to measure directed dependencies in time series. The dimensionality of data is first reduced using a new non-uniform embedding technique, where the variables are ranked according to a weighted sum of the amount of new information and improvement of the prediction accuracy...

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Bibliografische gegevens
Gepubliceerd in:Entropy (Basel)
Hoofdauteurs: Shahsavari Baboukani, Payam, Graversen, Carina, Alickovic, Emina, Østergaard, Jan
Formaat: Artigo
Taal:Inglês
Gepubliceerd in: MDPI 2020
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Online toegang:https://ncbi.nlm.nih.gov/pmc/articles/PMC7597255/
https://ncbi.nlm.nih.gov/pubmed/33286893
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e22101124
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