Measuring Information Transfer

Abstract

An information theoretic measure is derived that quantifies the statistical coherence between systems evolving in time. The standard time delayed mutual information fails to distinguish information that is actually exchanged from shared information due to common history and input signals. In our new approach, these influences are excluded by appropriate conditioning of transition probabilities. The resulting transfer entropy is able to distinguish effectively driving and responding elements and to detect asymmetry in the interaction of subsystems.

Identifiers

DOI

10.1103/physrevlett.85.461

Citations and references