[R] Mutual Information, Transfer Entropy etc

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From: Chris Mellen (Chris.Mellen@gmf.com.au)
Date: Fri 10 Jan 2003 - 15:27:10 EST


Message-id: <00a101c2b860$93845650$0e80a8c0@researchws01>

Hi All,

I am searching for a package/code which will let me undertake "Information
Theoretic"- type analyses of (a) timeseries. Specifically, functions for
calculating (Auto) Mutual Information, Transfer Entropy & the like are
required. The "tseries" package used to have an "amif" function which did
Auto Mutual Information estimates, but the recent versions of this package
have had the function removed. Does anybody know of a suitable replacement ?

Thanks in advance ...

--
Christopher Mellen
Grinham Managed Funds,
55 Hume Street, Crows Nest, NSW, 2065, Australia.
phone : +61-2-9906 2600

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