Calculate Enhanced Transfer Entropy

Computes transfer entropy between two time series with quantile conditioning and crisis period analysis. This is the core function for measuring directed information flow in the TE-DiD framework.

Usage

calculate_enhanced_transfer_entropy(
  source,
  target,
  quantile_threshold = 0.1,
  lag = 1,
  min_observations = 30
)

Arguments

source

Numeric vector or time series (source variable)

target

Numeric vector or time series (target variable)

quantile_threshold

Numeric value between 0 and 1 for quantile conditioning

lag

Integer lag for transfer entropy calculation (default = 1)

min_observations

Minimum number of observations required

Value

Numeric value representing transfer entropy from source to target

Details

This function implements an enhanced transfer entropy calculation that:

• Conditions on quantile thresholds for crisis analysis

• Uses volatility factors for realistic scaling

• Handles missing data and insufficient observations

• Returns bounded values between 0.001 and 1.0

Examples

if (FALSE) { # \dontrun{
# Generate sample data
n <- 100
x <- rnorm(n)
y <- 0.5 * x + rnorm(n, 0, 0.5)

# Calculate transfer entropy
te_xy <- calculate_enhanced_transfer_entropy(x, y, quantile_threshold = 0.1)
te_yx <- calculate_enhanced_transfer_entropy(y, x, quantile_threshold = 0.1)
} # }