Re: [R] Mutual Information, Transfer Entropy etc

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From: Adrian Trapletti (adrian.trapletti@lmttrading.com)
Date: Sat 11 Jan 2003 - 00:04:27 EST


Message-id: <3E1EC4DB.A734FC79@lmttrading.com>


> Subject: [R] Mutual Information, Transfer Entropy etc
> Date: Fri, 10 Jan 2003 15:27:10 +1100
> From: "Chris Mellen" <Chris.Mellen@gmf.com.au>
> To: <r-help@stat.math.ethz.ch>
>
> 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 ?

Dear Chris

I had to remove amif due to a license problem with the underlying code. However, if you would like to use the
old amif function (under a non-GPL license) I can provide you with the code.

best
Adrian

--
Dr. Adrian Trapletti             Phone :             +41 (0) 1 994 5631
Trapletti Statistical Computing  Mobile:             +41 (0)76 370 5631
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