Table 1 Comparison between transfer entropy and Granger causality
From: Information and phase transitions in socio-economic systems
Feature | Transfer entropy | Granger causality |
|---|---|---|
Parametric | No | Yes: linear VAR model |
Predictive | No | Yes |
Frequency decomposition | No | Yes |
Transformation-invariance | Nonlinear filter | Linear filter |
Estimation in sample | Hard | Easy |
Model order estimation | Unknown | AIC, BIC, cross-validation… |
Statistical distribution | Unknown | Known (asymptotic) |
Software implementation | Ad hoc | Many available packages |