Rényi Transfer Entropy Estimators for Financial Time Series †
Abstract
:1. Introduction
2. Rényi Transfer Entropy
2.1. Rényi Entropy
2.2. Shannon’s and Rényi’s Transfer Entropies
3. Financial Data Processing and Rényi Entropy Estimation
Rényi’s Entropy Estimation
- Relative accuracy for small datasets;
- Applicability for high-dimensional data;
- Combining the set estimators provides statistics for estimation.
4. Model Setup: Coupled GARCH Processes
5. Analysis of Effective RTE for Coupled GARCH() Processes
6. Conclusions
6.1. Summary
6.2. Perspectives and Generalizations
Author Contributions
Funding
Institutional Review Board Statement
Informed Consent Statement
Data Availability Statement
Conflicts of Interest
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Jizba, P.; Lavička, H.; Tabachová, Z. Rényi Transfer Entropy Estimators for Financial Time Series . Eng. Proc. 2021, 5, 33. https://doi.org/10.3390/engproc2021005033
Jizba P, Lavička H, Tabachová Z. Rényi Transfer Entropy Estimators for Financial Time Series . Engineering Proceedings. 2021; 5(1):33. https://doi.org/10.3390/engproc2021005033
Chicago/Turabian StyleJizba, Petr, Hynek Lavička, and Zlata Tabachová. 2021. "Rényi Transfer Entropy Estimators for Financial Time Series " Engineering Proceedings 5, no. 1: 33. https://doi.org/10.3390/engproc2021005033