Shortcomings of Transfer Entropy and Partial Transfer Entropy: Extending Them to Escape the Curse of Dimensionality

DOI10.1142/S0218127420502508zbMath1459.62174arXiv2004.11760MaRDI QIDQ5148912

Elsa Siggiridou, Angeliki Papana, Ariadni Papana Dagiasis

Publication date: 5 February 2021

Published in: International Journal of Bifurcation and Chaos (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2004.11760

zbMATH Keywords

connectivitycurse of dimensionalityGranger causalityvariable selectionmultivariate time seriesrandom forestpartial transfer entropy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Classification and discrimination; cluster analysis (statistical aspects) (62H30) Applications of statistics to actuarial sciences and financial mathematics (62P05) Economic time series analysis (91B84)

Uses Software

• randomSurvivalForest
• MuTE

Cites Work

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• Improving on transfer entropy-based network reconstruction using time-delays: Approach and validation
• High-Dimensional Variable Selection for Survival Data
• Investigating Causal Relations by Econometric Models and Cross-spectral Methods
• On Information and Sufficiency
• Random forests
• A distribution free plotting position

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