When reading through the first informative web pages on transfer entropy, it turns out how closely its concept is related to mutual information, and even closer to incremental mutual information; and, although it’s based on a totally different approach, it tries to create a measure of time-shifted influences similar to Granger-causality. The main difference: the latter is based on simple linear fit prediction, whereas the former is based on information theory.
I haven’t found something in the net which explains transfer entropy in simple pictures for the layman – quite a shame, considering the attention transfer entropy has recently gained in neuroscience. So I will refer to a highly cited article by Thomas Schreiber, which is freely available in the arXiv (link). On the first two pages, almost everything which is needed is explained. I suppose, however, that Schreiber’s background is theoretical physics.
It’s instructive to compare mutual information with transfer entropy. Continue reading