The monthly normalized information flow

version 1.0.0 (2.79 KB) by Ziyu Ye
Estimate tau21, the normalized information transfer from X2 to X1 with monthly data

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Updated 22 Sep 2022

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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

Cite As

Ziyu Ye (2022). The monthly normalized information flow (https://www.mathworks.com/matlabcentral/fileexchange/117960-the-monthly-normalized-information-flow), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2022b
Compatible with any release
Platform Compatibility
Windows macOS Linux
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