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Transfer entropy (TE) estimators

Visitation frequency estimator

The visitation frequency estimator computes TE, as the name implies, from a probability distribution over the discretized state space obtained by counting how often the orbit visits the different partition elements (boxes).

Documentation

# TransferEntropy.tefreq — Function.

Compute transfer entropy over a range of bin sizes.

Using the traditional method of estimation probability distribution by visitation frequencies [1], calculate transfer entropy from the embedding E, given a discretization scheme controlled by the psilons and information v::TEVarsabout which columns of the embedding to consider for each of the marginal distributions. From these marginal distributions, we calculate marginal entropies and insert these into the transfer entropy expression.

If normalise_to_tPP = true, then the TE estimate is normalised to the entropy rate of the target variable, H(target_future | target_presentpast).

References

Diego, D., Agasøster Haaga, K., & Hannisdal, B. (2018, November 1). Transfer entropy computation using the Perron-Frobenius operator. Eprint ArXiv:1811.01677. https://arxiv.org/abs/1811.01677.