Specific transfer entropy and other state-dependent transfer entropies for continuous-state input-output systems

Abstract

Since its original formulation in 2000, transfer entropy has become an invaluable tool in the toolbox of nonlinear dynamicists working with empirical data. Transfer entropy and its generalizations provide a precise definition of uncertainty and information transfer that are central to the coupled systems studied in nonlinear science. However, a canonical definition of state-dependent transfer entropy has yet to be introduced. We introduce a candidate measure, the specific transfer entropy, and compare its properties to both total and local transfer entropy. Specific transfer entropy makes possible both state- and time-resolved analysis of the predictive impact of a candidate input system on a candidate output system. We also present principled methods for estimating total, local, and specific transfer entropies from empirical data. We demonstrate the utility of specific transfer entropy and our proposed estimation procedures with two model systems, and find that specific transfer entropy provides more, and more easily interpretable, information about an input-output system compared to currently existing methods.