Estimating transfer entropy from the invariant distribution

A new method for quantifying Earth system interactions from time series

Estimating transfer entropy from the invariant distribution

A new method for quantifying Earth system interactions from time series

Abstract

We present a method for computing the transfer entropy between time series using Ulam’s approximation of the Perron-Frobenius (transfer) operator associated with the map generating the dynamics. Our method differs from standard transfer entropy estimators in that the invariant measure is estimated not directly from the data points but from the invariant distribution of the transfer operator approximated from the data points. We discuss the robustness of our method to sparse and noisy data, and assess its performance relative to other transfer entropy estimators.

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Bergen, Norway
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David Diego
Researcher

My research interests include theoretical physics, dynamical systems, and mathematical modeling of biological processes.