Statistical inference of lead-lag at various timescales between asynchronous time series from p-values of transfer entropy
基于转移熵 p 值推断异步时间序列在不同尺度上的领先滞后关系
Symbolic transfer entropy is a powerful non-parametric tool to detect lead-lag between time series. Because a closed expression of the distribution of Transfer Entropy is not known for finite-size samples, statistical testing is often performed with bootstraps whose slowness prevents the inference of large lead-lag networks between long time series. On the other hand, the asymptotic distribution of Transfer Entropy between two time series is known. In this work, we derive…