AUTHOR=Boba Patrick , Bollmann Dominik , Schoepe Daniel , Wester Nora , Wiesel Jan , Hamacher Kay TITLE=Efficient computation and statistical assessment of transfer entropy JOURNAL=Frontiers in Physics VOLUME=3 YEAR=2015 URL=https://www.frontiersin.org/journals/physics/articles/10.3389/fphy.2015.00010 DOI=10.3389/fphy.2015.00010 ISSN=2296-424X ABSTRACT=

The analysis of complex systems frequently poses the challenge to distinguish correlation from causation. Statistical physics has inspired very promising approaches to search for correlations in time series; the transfer entropy in particular [1]. Now, methods from computational statistics can quantitatively assign significance to such correlation measures. In this study, we propose and apply a procedure to statistically assess transfer entropies by one-sided tests. We introduce to null models of vanishing correlations for time series with memory. We implemented them in an OpenMP-based, parallelized C++ package for multi-core CPUs. Using template meta-programming, we enable a compromise between memory and run time efficiency.