The monthly normalized information flow
Estimate tau21, the normalized information transfer from X2 to X1 with monthly data
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 (2026). The monthly normalized information flow (https://ww2.mathworks.cn/matlabcentral/fileexchange/117960-the-monthly-normalized-information-flow), MATLAB Central File Exchange. 检索时间: .
| 版本 | 已发布 | 发行说明 | Action |
|---|---|---|---|
| 1.0.0 |
