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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