Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods

The information-theoretical concept transfer entropy is an ideal measure for detecting conditional independence, or Granger causality in a time series setting. The recent literature indeed witnesses an increased interest in applications of entropy-based tests in this direction. However, those tests...

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Bibliographic Details
Published in:	Entropy
Main Authors:	Cees Diks, Hao Fang
Format:	Article
Language:	English
Published:	MDPI AG 2017-07-01
Subjects:	transfer entropy Granger causality nonparametric test bootstrap surrogate data
Online Access:	https://www.mdpi.com/1099-4300/19/7/372

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