Causal Inference in Time Series in Terms of Rényi Transfer Entropy
Abstract
:1. Introduction
2. Rényi Entropy
2.1. Definition
- RE is symmetric, i.e., ;
- RE is non-negative, i.e., ;
- , where is the Shannon entropy;
- is the Hartley entropy and is the Collision entropy;
- ;
- is a positive, decreasing the function of .
2.2. Multifractals, Chaotic Systems, and Rényi Entropy
2.3. Shannon Transfer Entropy
2.4. Rényi Transfer Entropy
2.5. Escort Distribution
3. Rényi Transfer Entropy and Causality
3.1. Granger Causality—Gaussian Variables
3.2. Granger Causality—Heavy-Tailed Variables
4. Estimation of Rényi Entropy
4.1. RTE and Derived Concepts
4.1.1. Balance of Transfer Entropy
4.1.2. Effective Transfer Entropy
4.1.3. Balance of Effective Transfer Entropy
4.1.4. Choice of Parameters k and l
5. Rössler System
5.1. Equations for Master System
5.2. Equations for the Slave System
5.3. Numerical Experiments with Coupled RSs
Projections
6. Numerical Analysis of RTE for Coupled RSs
6.1. Effective RTE between x1 and y1 Directions
6.2. Effective RTE between x3 and y3 Directions
6.3. Effective RTE for the Full System
6.4. Balance of Effective RTE
7. Discussion and Conclusions
7.1. Theoretical Results
7.2. Numerical Analysis of RTE for Rössler Systems
7.3. Conclusions
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Acknowledgments
Conflicts of Interest
Abbreviations
RE | Rényi entropy |
TE | transfer entropy |
RTE | Rényi transfer entropy |
probability density function | |
ITE | information-theoretic entropy |
RS | Rössler system |
KSE | Kolmogorov–Sinai entropy rate |
LE | Lyapunov exponent |
Appendix A
- It has relative accuracy for a small data set;
- It has applicability for high-dimensional data;
- The set estimators provide statistics for the estimation.
Appendix B
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Jizba, P.; Lavička, H.; Tabachová, Z. Causal Inference in Time Series in Terms of Rényi Transfer Entropy. Entropy 2022, 24, 855. https://doi.org/10.3390/e24070855
Jizba P, Lavička H, Tabachová Z. Causal Inference in Time Series in Terms of Rényi Transfer Entropy. Entropy. 2022; 24(7):855. https://doi.org/10.3390/e24070855
Chicago/Turabian StyleJizba, Petr, Hynek Lavička, and Zlata Tabachová. 2022. "Causal Inference in Time Series in Terms of Rényi Transfer Entropy" Entropy 24, no. 7: 855. https://doi.org/10.3390/e24070855
APA StyleJizba, P., Lavička, H., & Tabachová, Z. (2022). Causal Inference in Time Series in Terms of Rényi Transfer Entropy. Entropy, 24(7), 855. https://doi.org/10.3390/e24070855