Momentary information transfer as a coupling measure of time series.

@article{Pompe2011MomentaryIT,
  title={Momentary information transfer as a coupling measure of time series.},
  author={Bernd Pompe and Jakob Runge},
  journal={Physical review. E, Statistical, nonlinear, and soft matter physics},
  year={2011},
  volume={83 5 Pt 1},
  pages={051122}
}
We propose a method to analyze couplings between two simultaneously measured time series. Our approach is based on conditional mutual sorting information. It is related to other concepts for detecting coupling directions: the old idea of Marko for directed information and the more recent concept of Schreiber's transfer entropy. By setting suitable conditions we first of all consider momentary information in both time series. This enables the detection not only of coupling directions but also… CONTINUE READING
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