The monthly normalized information flow

版本 1.0.0 (2.8 KB) 作者: Ziyu Ye

Estimate tau21, the normalized information transfer from X2 to X1 with monthly data

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更新时间 2022/9/22

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Estimate tau21, the normalized information transfer from X2 to X1 with monthly data based on Bai et al.(2019)(https://ww2.mathworks.cn/matlabcentral/fileexchange/62471-the-normalized-information-flow).

On input:

X1, X2: the time series

xx1,xx2: the time series of target month

xn1,xn2: the time series of next month (Ye and tozuka)

np: integer >=1, time advance in performing Euler forward

differencing, e.g., 1, 2. Unless the series are generated

with a highly chaotic deterministic system, np=1 should be used.

Slevel: the confidence level of the result.(warning: IF the length of the time series is not sufficient enough to be considered as following normal distribution, please use Bootstrap Test (Liang, 2015))

On output:

tau21b: relative info flow from X2 to X1 (Bai et al., 2017)

tau21l: relative info flow from X2 to X1 (Liang, 2015)

T21: information flow from X2 to X1 without normlization

YesorNot: The result of the significant test

引用格式

Ziyu Ye (2024). The monthly normalized information flow (https://www.mathworks.com/matlabcentral/fileexchange/117960-the-monthly-normalized-information-flow), MATLAB Central File Exchange. 检索来源 2024/4/24.