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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...

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Detalles Bibliográficos
Autores principales: Keskin, Z., Aste, T.
Formato: Online Artículo Texto
Lenguaje:English
Publicado: The Royal Society 2020
Materias:
Acceso en línea:https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7540793/
https://www.ncbi.nlm.nih.gov/pubmed/33047046
http://dx.doi.org/10.1098/rsos.200863