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...
| الحاوية / القاعدة: | Royal Society Open Science |
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| المؤلفون الرئيسيون: | , |
| التنسيق: | مقال |
| اللغة: | الإنجليزية |
| منشور في: |
The Royal Society
2020-09-01
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://royalsocietypublishing.org/doi/10.1098/rsos.200863 |