Transfer Entropy

 

Statistical relationships among the variables of a complex system reveal a lot about its physical behavior. Therefore, identification of the relevant variables and characterization of their interactions are crucial for a better understanding of a complex system. Correlation-based techniques have been widely utilized to elucidate the linear statistical dependencies in many science and engineering applications. However, for the analysis of nonlinear dependencies, information-theoretic quantities, such as Mutual Information (MI) and the Transfer Entropy (TE), have been proven to be superior. MI quantifies the amount of information obtained about one random variable, through the other random variable, and it is symmetric. As an asymmetrical measure, TE quantifies the amount of directed (time-asymmetric) transfer of information between random processes and therefore is related to the measures of causality.

 

https://doi.org/10.3390/books978-3-03842-920-3 Open Access
© 2018 MDPI; under CC BY-NC-ND license
Transfer Entropy
Deniz Gençağa (Ed.)
Pages: VIII, 326
Published: August 2018

Source: www.mdpi.com