[R] Mutual Information, Transfer Entropy etc

Chris Mellen Chris.Mellen at gmf.com.au
Fri Jan 10 05:25:03 CET 2003

Hi All,

I am searching for a package/code which will let me undertake "Information
Theoretic"- type analyses of (a) timeseries. Specifically, functions for
calculating (Auto) Mutual Information, Transfer Entropy & the like are
required. The "tseries" package used to have an "amif" function which did
Auto Mutual Information estimates, but the recent versions of this package
have had the function removed. Does anybody know of a suitable replacement ?

Thanks in advance ...

Christopher Mellen
Grinham Managed Funds,
55 Hume Street, Crows Nest, NSW, 2065, Australia.
phone : +61-2-9906 2600

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