Peng, Shaowei; Han, Wenchen; Jia, Guozhu - In: Data science and management : DSM 5 (2022) 3, pp. 117-123
Correlations between two time series, including the linear Pearson correlation and the nonlinear transfer entropy, have … a time delay and a rolling window. In most cases, the Pearson correlation and transfer entropy share the same tendency … correlation, using the linear correlation with time delays and a rolling window is a robust and simple method to quantify the …
