Evaluating Transfer Entropy for Normal and y-Order Normal Distributions

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F16%3A00461261" target="_blank" >RIV/67985556:_____/16:00461261 - isvavai.cz</a>

Výsledek na webu

<a href="http://dx.doi.org/10.9734/BJMCS/2016/27377" target="_blank" >http://dx.doi.org/10.9734/BJMCS/2016/27377</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.9734/BJMCS/2016/27377" target="_blank" >10.9734/BJMCS/2016/27377</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Evaluating Transfer Entropy for Normal and y-Order Normal Distributions

Popis výsledku v původním jazyce

Since its introduction, transfer entropy has become a popular information-theoretic tool for detecting causal inference between two discretized random processes. By means of statistical tools we evaluate the transfer entropy of stationary processes whose continuous probability distributions are known. We study transfer entropy of processes coming from the family of γ-order generalized normal distribution. Applying Kullback-Leibler divergence we provide explicit expressions of the transfer entropy for processes which are normal, as well as for processes from the class of γ-order normal distributions. The results achieved in the paper for continuous time can be applied also to the discrete time case, concretely to the time series whose underlying process distribution is from the discussed classes.

Název v anglickém jazyce

Evaluating Transfer Entropy for Normal and y-Order Normal Distributions

Popis výsledku anglicky

Since its introduction, transfer entropy has become a popular information-theoretic tool for detecting causal inference between two discretized random processes. By means of statistical tools we evaluate the transfer entropy of stationary processes whose continuous probability distributions are known. We study transfer entropy of processes coming from the family of γ-order generalized normal distribution. Applying Kullback-Leibler divergence we provide explicit expressions of the transfer entropy for processes which are normal, as well as for processes from the class of γ-order normal distributions. The results achieved in the paper for continuous time can be applied also to the discrete time case, concretely to the time series whose underlying process distribution is from the discussed classes.

Druh

J_x - Nezařazeno - Článek v odborném periodiku (Jimp, Jsc a Jost)

CEP obor

BC - Teorie a systémy řízení

OECD FORD obor

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Projekt

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Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2016

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

British Journal of Mathematics & Computer Science

ISSN

2231-0851

e-ISSN

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Svazek periodika

17

Číslo periodika v rámci svazku

5

Stát vydavatele periodika

GB - Spojené království Velké Británie a Severního Irska

Počet stran výsledku

20

Strana od-do

1-20

Kód UT WoS článku

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EID výsledku v databázi Scopus

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