Multivariate information API

information(est::MultivariateInformationMeasureEstimator, x...)

Estimate some MultivariateInformationMeasure on input data x..., using the given MultivariateInformationMeasureEstimator.

This is just a convenience wrapper around association(est, x...).

MultivariateInformationMeasureEstimator

The supertype for all estimators of multivariate information measures.

Generic implementations

• JointProbabilities
• EntropyDecomposition
• MIDecomposition
• CMIDecomposition

Dedicated implementations

MutualInformationEstimators:

• KraskovStögbauerGrassberger2
• KraskovStögbauerGrassberger2
• GaoOhViswanath
• GaoKannanOhViswanath
• GaussianMI

ConditionalMutualInformationEstimators:

• FPVP
• MesnerShalizi
• Rahimzamani
• PoczosSchneiderCMI
• GaussianCMI

TransferEntropyEstimators:

• Zhu1
• Lindner

JointProbabilities <: InformationMeasureEstimator
JointProbabilities(
    definition::MultivariateInformationMeasure,
    discretization::Discretization
)

JointProbabilities is a generic estimator for multivariate discrete information measures.

Usage

• Use with association to compute an information measure from input data.

Description

It first encodes the input data according to the given discretization, then constructs probs, a multidimensional Probabilities instance. Finally, probs are forwarded to a PlugIn estimator, which computes the measure according to definition.

Compatible encoding schemes

• CodifyVariables (encode each variable/column of the input data independently by applying an encoding in a sliding window over each input variable).
• CodifyPoints (encode each point/column of the input data)

Works for any OutcomeSpace that implements codify.

See also: Counts, Probabilities, ProbabilitiesEstimator, OutcomeSpace, DiscreteInfoEstimator.

EntropyDecomposition(definition::MultivariateInformationMeasure, 
    est::DifferentialInfoEstimator)
EntropyDecomposition(definition::MultivariateInformationMeasure,
    est::DiscreteInfoEstimator,
    discretization::CodifyVariables{<:OutcomeSpace},
    pest::ProbabilitiesEstimator = RelativeAmount())

Estimate the multivariate information measure specified by definition by rewriting its formula into some combination of entropy terms.

Estimation

EntropyDecomposition allows using any InformationMeasureEstimatorss from ComplexityMeasures.jl to estimate multivariate information measures.

Computations are done by computing individual entropy terms using est, then combining them according to definition to form the final estimate.

Bias

Estimating the definition by decomposition into a combination of entropy terms, which are estimated independently, will in general be more biased than when using a dedicated estimator. One reason is that this decomposition may miss out on crucial information in the joint space. To remedy this, dedicated information measure estimators typically derive the marginal estimates by first considering the joint space, and then does some clever trick to eliminate the bias that is introduced through a naive decomposition. Unless specified below, no bias correction is applied for EntropyDecomposition.

Usage

• Use with association to compute a MultivariateInformationMeasure from input data: association(est::EntropyDecomposition, x...).
• Use with some IndependenceTest to test for independence between variables.

Description

If est is a DifferentialInfoEstimator, then discretization and pest are ignored.

Differential estimation

If using the first signature, any compatible DifferentialInfoEstimator can be used. MITsallisMartin can be estimated using a decomposition into entropy terms using EntropyDecomposition. This is done by using estimators from ComplexityMeasures.jl. We can use any compatible InformationMeasureEstimator that can estimate differential Tsallis entropy from ComplexityMeasures.jl.

Discrete estimation

If est is a DiscreteInfoEstimator, then discretization and a probabilities estimator pest must also be provided (default to RelativeAmount, which uses naive plug-in probabilities). This will always discretize the input data per variable/column, and the encode the discretized column into integers using codify.

The following OutcomeSpaces can be used for discretisation. Note that not all outcome spaces will work with all measures.

Handling of overlapping parameters

If there are overlapping parameters between the measure to be estimated, and the lower-level decomposed measures, then the top-level measure parameter takes precedence. For example, if we want to estimate CMIShannon(base = 2) through a decomposition of entropies using the Kraskov(Shannon(base = ℯ)) Shannon entropy estimator, then base = 2 is used.

Discrete entropy decomposition

The second signature is for discrete estimation using DiscreteInfoEstimators, for example PlugIn. The given discretization scheme (typically an OutcomeSpace) controls how the joint/marginals are discretized, and the probabilities estimator pest controls how probabilities are estimated from counts.

Examples

• Example 1: MIShannon estimation using decomposition into discrete Shannon entropy estimated using CodifyVariables with ValueBinning.
• Example 2: MIShannon estimation using decomposition into discrete Shannon entropy estimated using CodifyVariables with BubbleSortSwaps.
• Example 3: MIShannon estimation using decomposition into differental Shannon entropy estimated using the Kraskov estimator.

See also: MutualInformationEstimator, MultivariateInformationMeasure.

MIDecomposition(definition::MultivariateInformationMeasure, 
    est::MutualInformationEstimator)

Estimate the MultivariateInformationMeasure specified by definition by by decomposing, the measure, if possible, into a combination of mutual information terms. These terms are individually estimated using the given MutualInformationEstimator est, and finally combined to form the final value of the measure.

Usage

• Use with association to compute a MultivariateInformationMeasure from input data: association(est::MIDecomposition, x...).
• Use with some IndependenceTest to test for independence between variables.

Examples

• Example 1: Estimating CMIShannon using a decomposition into MIShannon terms using the KraskovStögbauerGrassberger2 mutual information estimator.

See also: MultivariateInformationMeasureEstimator.

CMIDecomposition(definition::MultivariateInformationMeasure, 
    est::ConditionalMutualInformationEstimator)

Estimate some multivariate information measure specified by definition, by decomposing it into a combination of conditional mutual information terms.

Usage

• Use with association to compute a MultivariateInformationMeasure from input data: association(est::CMIDecomposition, x...).
• Use with some IndependenceTest to test for independence between variables.

Description

Each of the conditional mutual information terms are estimated using est, which can be any ConditionalMutualInformationEstimator. Finally, these estimates are combined according to the relevant decomposition formula.

This estimator is similar to EntropyDecomposition, but definition is expressed as conditional mutual information terms instead of entropy terms.

Examples

• Example 1: Estimating TEShannon by decomposing it into CMIShannon which is estimated using the FPVP estimator.

See also: ConditionalMutualInformationEstimator, MultivariateInformationMeasureEstimator, MultivariateInformationMeasure.

MutualInformationEstimator

The supertype for dedicated MutualInformation estimators.

Concrete implementations

• KraskovStögbauerGrassberger2
• KraskovStögbauerGrassberger2
• GaoOhViswanath
• GaoKannanOhViswanath
• GaussianMI

KSG1 <: MutualInformationEstimator
KraskovStögbauerGrassberger1 <: MutualInformationEstimator
KraskovStögbauerGrassberger1(; k::Int = 1, w = 0, metric_marginals = Chebyshev())

The KraskovStögbauerGrassberger1 mutual information estimator (you can use KSG1 for short) is the $I^{(1)}$ k-th nearest neighbor estimator from Kraskov et al. (2004).

Compatible definitions

• MIShannon

Usage

• Use with association to compute Shannon mutual information from input data.
• Use with some IndependenceTest to test for independence between variables.

Keyword arguments

• k::Int: The number of nearest neighbors to consider. Only information about the k-th nearest neighbor is actually used.
• metric_marginals: The distance metric for the marginals for the marginals can be any metric from Distances.jl. It defaults to metric_marginals = Chebyshev(), which is the same as in Kraskov et al. (2004).
• w::Int: The Theiler window, which determines if temporal neighbors are excluded during neighbor searches in the joint space. Defaults to 0, meaning that only the point itself is excluded.

Example

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000); y = rand(rng, 10000)
association(KSG1(; k = 10), x, y) # should be near 0 (and can be negative)

KSG2 <: MutualInformationEstimator
KraskovStögbauerGrassberger2 <: MutualInformationEstimator
KraskovStögbauerGrassberger2(; k::Int = 1, w = 0, metric_marginals = Chebyshev())

The KraskovStögbauerGrassberger2 mutual information estimator (you can use KSG2 for short) is the $I^{(2)}$ k-th nearest neighbor estimator from (Kraskov et al., 2004).

Compatible definitions

• MIShannon

Usage

• Use with association to compute Shannon mutual information from input data.
• Use with some IndependenceTest to test for independence between variables.

Keyword arguments

• k::Int: The number of nearest neighbors to consider. Only information about the k-th nearest neighbor is actually used.
• metric_marginals: The distance metric for the marginals for the marginals can be any metric from Distances.jl. It defaults to metric_marginals = Chebyshev(), which is the same as in Kraskov et al. (2004).
• w::Int: The Theiler window, which determines if temporal neighbors are excluded during neighbor searches in the joint space. Defaults to 0, meaning that only the point itself is excluded.

Description

Let the joint StateSpaceSet $X := \{\bf{X}_1, \bf{X_2}, \ldots, \bf{X}_m \}$ be defined by the concatenation of the marginal StateSpaceSets $\{ \bf{X}_k \}_{k=1}^m$, where each $\bf{X}_k$ is potentially multivariate. Let $\bf{x}_1, \bf{x}_2, \ldots, \bf{x}_N$ be the points in the joint space $X$.

The KraskovStögbauerGrassberger2 estimator first locates, for each $\bf{x}_i \in X$, the point $\bf{n}_i \in X$, the k-th nearest neighbor to $\bf{x}_i$, according to the maximum norm (Chebyshev metric). Let $\epsilon_i$ be the distance $d(\bf{x}_i, \bf{n}_i)$.

Consider $x_i^m \in \bf{X}_m$, the $i$-th point in the marginal space $\bf{X}_m$. For each $\bf{x}_i^m$, we determine $\theta_i^m$ := the number of points $\bf{x}_k^m \in \bf{X}_m$ that are a distance less than $\epsilon_i$ away from $\bf{x}_i^m$. That is, we use the distance from a query point $\bf{x}_i \in X$ (in the joint space) to count neighbors of $x_i^m \in \bf{X}_m$ (in the marginal space).

Shannon mutual information between the variables $\bf{X}_1, \bf{X_2}, \ldots, \bf{X}_m$ is then estimated as

\[\hat{I}_{KSG2}(\bf{X}) = \psi{(k)} - \dfrac{m - 1}{k} + (m - 1)\psi{(N)} - \dfrac{1}{N} \sum_{i = 1}^N \sum_{j = 1}^m \psi{(\theta_i^j + 1)}\]

Example

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000); y = rand(rng, 10000)
association(KSG2(; k = 10), x, y) # should be near 0 (and can be negative)

GaoKannanOhViswanath <: MutualInformationEstimator
GaoKannanOhViswanath(definition = MIShannon(); k = 1, w = 0)

The GaoKannanOhViswanath (Shannon) estimator is designed for estimating Shannon mutual information between variables that may be either discrete, continuous or a mixture of both (Gao et al., 2017).

Compatible definitions

• MIShannon

Keyword arguments

• k::Int: The number of nearest neighbors to consider. Only information about the k-th nearest neighbor is actually used.
• w::Int: The Theiler window, which determines if temporal neighbors are excluded during neighbor searches in the joint space. Defaults to 0, meaning that only the point itself is excluded.

Usage

• Use with association to compute Shannon mutual information from input data.
• Use with some IndependenceTest to test for independence between variables.

Description

The estimator starts by expressing mutual information in terms of the Radon-Nikodym derivative, and then estimates these derivatives using k-nearest neighbor distances from empirical samples.

The estimator avoids the common issue of having to add noise to data before analysis due to tied points, which may bias other estimators. Citing their paper, the estimator "strongly outperforms natural baselines of discretizing the mixed random variables (by quantization) or making it continuous by adding a small Gaussian noise."

Examples

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000); y = rand(rng, 10000)
association(GaoKannanOhViswanath(; k = 10), x, y) # should be near 0 (and can be negative)

GaoOhViswanath <: MutualInformationEstimator
GaoOhViswanath(definition = MIShannon(); k = 1, w = 0)

The GaoOhViswanath is a mutual information estimator based on nearest neighbors, and is also called the bias-improved-KSG estimator, or BI-KSG, by (Gao et al., 2018).

Compatible definitions

• MIShannon

Keyword arguments

• k::Int: The number of nearest neighbors to consider. Only information about the k-th nearest neighbor is actually used.
• w::Int: The Theiler window, which determines if temporal neighbors are excluded during neighbor searches in the joint space. Defaults to 0, meaning that only the point itself is excluded.

Usage

• Use with association to compute Shannon mutual information from input data.
• Use with some IndependenceTest to test for independence between variables.

Description

The estimator is given by

\[\begin{align*} \hat{H}_{GAO}(X, Y) &= \hat{H}_{KSG}(X) + \hat{H}_{KSG}(Y) - \hat{H}_{KZL}(X, Y) \\ &= \psi{(k)} + \log{(N)} + \log{ \left( \dfrac{c_{d_{x}, 2} c_{d_{y}, 2}}{c_{d_{x} + d_{y}, 2}} \right) } - \\ & \dfrac{1}{N} \sum_{i=1}^N \left( \log{(n_{x, i, 2})} + \log{(n_{y, i, 2})} \right) \end{align*},\]

where $c_{d, 2} = \dfrac{\pi^{\frac{d}{2}}}{\Gamma{(\dfrac{d}{2} + 1)}}$ is the volume of a $d$-dimensional unit $\mathcal{l}_2$-ball.

Example

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000); y = rand(rng, 10000)
association(GaoOhViswanath(; k = 10), x, y) # should be near 0 (and can be negative)

GaussianMI <: MutualInformationEstimator
GaussianMI(; normalize::Bool = false)

GaussianMI is a parametric estimator for Shannon mutual information.

Compatible definitions

• MIShannon

Usage

• Use with association to compute Shannon mutual information from input data.
• Use with some IndependenceTest to test for independence between variables.

Description

Given $d_x$-dimensional and $d_y$-dimensional input data X and Y, GaussianMI first constructs the $d_x + d_y$-dimensional joint StateSpaceSet XY. If normalize == true, then we follow the approach in Vejmelka & Palus (2008)(Vejmelka and Paluš, 2008) and transform each column in XY to have zero mean and unit standard deviation. If normalize == false, then the algorithm proceeds without normalization.

Next, the C_{XY}, the correlation matrix for the (normalized) joint data XY is computed. The mutual information estimate GaussianMI assumes the input variables are distributed according to normal distributions with zero means and unit standard deviations. Therefore, given $d_x$-dimensional and $d_y$-dimensional input data X and Y, GaussianMI first constructs the joint StateSpaceSet XY, then transforms each column in XY to have zero mean and unit standard deviation, and finally computes the \Sigma, the correlation matrix for XY.

The mutual information estimated (for normalize == false) is then estimated as

\[\hat{I}^S_{Gaussian}(X; Y) = \dfrac{1}{2} \dfrac{ \det(\Sigma_X) \det(\Sigma_Y)) }{\det(\Sigma))},\]

where we $\Sigma_X$ and $\Sigma_Y$ appear in $\Sigma$ as

\[\Sigma = \begin{bmatrix} \Sigma_{X} & \Sigma^{'}\\ \Sigma^{'} & \Sigma_{Y} \end{bmatrix}.\]

If normalize == true, then the mutual information is estimated as

\[\hat{I}^S_{Gaussian}(X; Y) = -\dfrac{1}{2} \sum_{i = 1}^{d_x + d_y} \sigma_i,\]

where $\sigma_i$ are the eigenvalues for $\Sigma$.

Example

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000); y = rand(rng, 10000)
association(GaussianMI(), x, y) # should be near 0 (and can be negative)

ConditionalMutualInformationEstimator

The supertype for dedicated ConditionalMutualInformation estimators.

Concrete implementations

• FPVP
• GaussianCMI
• MesnerShalizi
• Rahimzamani
• PoczosSchneiderCMI

GaussianCMI <: MutualInformationEstimator
GaussianCMI(definition = CMIShannon(); normalize::Bool = false)

GaussianCMI is a parametric ConditionalMutualInformationEstimator (Vejmelka and Paluš, 2008).

Compatible definitions

• CMIShannon

Usage

• Use with association to compute CMIShannon from input data.
• Use with some IndependenceTest to test for independence between variables.

Description

GaussianCMI estimates Shannon CMI through a sum of two mutual information terms that each are estimated using GaussianMI (the normalize keyword is the same as for GaussianMI):

\[\hat{I}_{Gaussian}(X; Y | Z) = \hat{I}_{Gaussian}(X; Y, Z) - \hat{I}_{Gaussian}(X; Z)\]

Examples

• Example 1. Estimating CMIShannon.

FPVP <: ConditionalMutualInformationEstimator
FPVP(definition = CMIShannon(); k = 1, w = 0)

The Frenzel-Pompe-Vejmelka-Paluš (or FPVP for short) ConditionalMutualInformationEstimator is used to estimate the conditional mutual information using a k-th nearest neighbor approach that is analogous to that of the KraskovStögbauerGrassberger2 mutual information estimator from Frenzel and Pompe (2007) and Vejmelka and Paluš (2008).

k is the number of nearest neighbors. w is the Theiler window, which controls the number of temporal neighbors that are excluded during neighbor searches.

Compatible definitions

• CMIShannon

Usage

• Use with association to compute ConditionalMutualInformation measure from input data.
• Use with some IndependenceTest to test for independence between variables.

Examples

• Example 1: Estimating CMIShannon

MesnerShalizi <: ConditionalMutualInformationEstimator
MesnerShalizi(definition = CMIShannon(); k = 1, w = 0)

The MesnerShalizi ConditionalMutualInformationEstimator is designed for data that can be mixtures of discrete and continuous data (Mesner and Shalizi, 2020).

k is the number of nearest neighbors. w is the Theiler window, which controls the number of temporal neighbors that are excluded during neighbor searches.

Compatible definitions

• CMIShannon

Usage

• Use with association to compute CMIShannon from input data.
• Use with some IndependenceTest to test for independence between variables.

Examples

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000)
y = rand(rng, 10000) .+ x
z = rand(rng, 10000) .+ y
association(MesnerShalizi(; k = 10), x, z, y) # should be near 0 (and can be negative)

Rahimzamani <: ConditionalMutualInformationEstimator
Rahimzamani(k = 1, w = 0)

The Rahimzamani ConditionalMutualInformationEstimator is designed for data that can be mixtures of discrete and continuous data (Rahimzamani et al., 2018).

Compatible definitions

• CMIShannon

Usage

• Use with association to compute a CMIShannon from input data.
• Use with some IndependenceTest to test for independence between variables.

Description

This estimator is very similar to the GaoKannanOhViswanath mutual information estimator, but has been expanded to the conditional mutual information case.

k is the number of nearest neighbors. w is the Theiler window, which controls the number of temporal neighbors that are excluded during neighbor searches.

Examples

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000)
y = rand(rng, 10000) .+ x
z = rand(rng, 10000) .+ y
association(Rahimzamani(; k = 10), x, z, y) # should be near 0 (and can be negative)

PoczosSchneiderCMI <: ConditionalMutualInformationEstimator
PoczosSchneiderCMI(definition = CMIRenyiPoczos(); k = 1, w = 0)

The PoczosSchneiderCMI ConditionalMutualInformationEstimator computes conditional mutual informations using a k-th nearest neighbor approach (Póczos and Schneider, 2012).

k is the number of nearest neighbors. w is the Theiler window, which controls the number of temporal neighbors that are excluded during neighbor searches.

Compatible definitions

• CMIRenyiPoczos

Usage

• Use with association to compute CMIRenyiPoczos from input data.
• Use with some IndependenceTest to test for independence between variables.

Examples

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000)
y = rand(rng, 10000) .+ x
z = rand(rng, 10000) .+ y
association(PoczosSchneiderCMI(CMIRenyiPoczos(), k = 10), x, z, y) # should be near 0 (and can be negative)

The supertype of all dedicated transfer entropy estimators.

Zhu1 <: TransferEntropyEstimator
Zhu1(k = 1, w = 0, base = MathConstants.e)

The Zhu1 transfer entropy estimator (Zhu et al., 2015) for normalized input data (as described in Zhu et al. (2015)) for both for pairwise and conditional transfer entropy.

Compatible definitions

• TEShannon

Usage

• Use with association to compute TEShannon from input data.
• Use with some IndependenceTest to test for independence between variables.

Description

This estimator approximates probabilities within hyperrectangles surrounding each point xᵢ ∈ x using using k nearest neighbor searches. However, it also considers the number of neighbors falling on the borders of these hyperrectangles. This estimator is an extension to the entropy estimator in Singh et al. (2003).

w is the Theiler window, which determines if temporal neighbors are excluded during neighbor searches (defaults to 0, meaning that only the point itself is excluded when searching for neighbours).

Description

For a given points in the joint embedding space jᵢ, this estimator first computes the distance dᵢ from jᵢ to its k-th nearest neighbor. Then, for each point mₖ[i] in the k-th marginal space, it counts the number of points within radius dᵢ.

The Shannon transfer entropy is then computed as

\[TE_S(X \to Y) = \psi(k) + \dfrac{1}{N} \sum_{i}^n \left[ \sum_{k=1}^3 \left( \psi(m_k[i] + 1) \right) \right],\]

where the index k references the three marginal subspaces T, TTf and ST for which neighbor searches are performed. Here this estimator has been modified to allow for conditioning too (a simple modification to Lindner et al. (2011)'s equation 5 and 6).

Example

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000)
y = rand(rng, 10000) .+ x
z = rand(rng, 10000) .+ y
est = Zhu1(TEShannon(), k = 10)
association(est, x, z, y) # should be near 0 (and can be negative)

Lindner <: TransferEntropyEstimator
Lindner(definition = Shannon(); k = 1, w = 0, base = 2)

The Lindner transfer entropy estimator (Lindner et al., 2011), which is also used in the Trentool MATLAB toolbox, and is based on nearest neighbor searches.

Compatible definitions

• TEShannon

Usage

• Use with association to compute TEShannon from input data.
• Use with some IndependenceTest to test for independence between variables.

Keyword parameters

w is the Theiler window, which determines if temporal neighbors are excluded during neighbor searches (defaults to 0, meaning that only the point itself is excluded when searching for neighbours).

The estimator can be used both for pairwise and conditional transfer entropy estimation.

Description

For a given points in the joint embedding space jᵢ, this estimator first computes the distance dᵢ from jᵢ to its k-th nearest neighbor. Then, for each point mₖ[i] in the k-th marginal space, it counts the number of points within radius dᵢ.

The Shannon transfer entropy is then computed as

\[TE_S(X \to Y) = \psi(k) + \dfrac{1}{N} \sum_{i}^n \left[ \sum_{k=1}^3 \left( \psi(m_k[i] + 1) \right) \right],\]

where the index k references the three marginal subspaces T, TTf and ST for which neighbor searches are performed. Here this estimator has been modified to allow for conditioning too (a simple modification to Lindner et al. (2011)'s equation 5 and 6).

Example

using Associations
using Random; rng = MersenneTwister(1234)
x = rand(rng, 10000)
y = rand(rng, 10000) .+ x
z = rand(rng, 10000) .+ y
est = Lindner(TEShannon(), k = 10)
association(est, x, z, y) # should be near 0 (and can be negative)

SymbolicTransferEntropy <: TransferEntropyEstimator
SymbolicTransferEntropy(definition = TEShannon(); m = 3, τ = 1, 
    lt = ComplexityMeasures.isless_rand

A convenience estimator for symbolic transfer entropy (Staniek and Lehnertz, 2008).

Compatible measures

• TEShannon

Description

Symbolic transfer entropy consists of two simple steps. First, the input time series are encoded using codify with the CodifyVariables discretization and the OrdinalPatterns outcome space. This transforms the input time series into integer time series. Transfer entropy entropy is then estimated from the encoded time series by applying

Transfer entropy is then estimated as usual on the encoded timeseries with the embedding dictated by definition and the JointProbabilities estimator.

Examples

• Example 1

Hilbert(est;
    source::InstantaneousSignalProperty = Phase(),
    target::InstantaneousSignalProperty = Phase(),
    cond::InstantaneousSignalProperty = Phase())
) <: TransferDifferentialEntropyEstimator

Compute transfer entropy on instantaneous phases/amplitudes of relevant signals, which are obtained by first applying the Hilbert transform to each signal, then extracting the phases/amplitudes of the resulting complex numbers (Paluš, 2014). Original time series are thus transformed to instantaneous phase/amplitude time series. Transfer entropy is then estimated using the provided est on those phases/amplitudes (use e.g. ValueBinning, or OrdinalPatterns).

See also: Phase, Amplitude.

Phase <: InstantaneousSignalProperty

Indicates that the instantaneous phases of a signal should be used.

Amplitude <: InstantaneousSignalProperty

Indicates that the instantaneous amplitudes of a signal should be used.