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전이 엔트로피(Transfer Entropy)×수렴 교차 사상 (Convergent Cross Mapping, CCM)×그랜저 인과성 검정×
분야인과추론인과추론계량경제학
계열Machine learningMachine learningRegression model
기원 연도200020121969
창시자Thomas SchreiberGeorge Sugihara et al.Clive W. J. Granger
유형Non-parametric information-theoretic measureNonlinear time-series causality testTime-series predictive causality test
원전Schreiber, T. (2000). Measuring information transfer. Physical Review Letters, 85(2), 461–464. DOI ↗Sugihara, G., et al. (2012). Detecting causality in complex ecosystems. Science, 338(6106), 496–500. DOI ↗Granger, C. W. J. (1969). Investigating Causal Relations by Econometric Models and Cross-spectral Methods. Econometrica, 37(3), 424-438. DOI ↗
별칭Schreiber Information Transfer, Directed Information Flow, Conditional Mutual Information (directed), Transfer EntropisiCCM, Cross-Convergent Mapping, Empirical Dynamic Modelling Causality, Yakınsak Çapraz HaritalamaGranger causality test, Granger non-causality test, predictive causality test, Granger Nedensellik Testi
관련335
요약Transfer Entropy (TE) is a non-parametric, information-theoretic measure of directed statistical dependence between two time series, introduced by Thomas Schreiber in 2000. Grounded in Shannon entropy, it quantifies how much information the past of one process Y reduces uncertainty about the next state of another process X, beyond what X's own past already provides. Unlike linear correlation or Granger causality, TE captures nonlinear interactions and requires no model assumptions about the underlying dynamics.Convergent Cross Mapping (CCM) is a nonlinear, state-space method for detecting causality between time-series variables embedded in a shared dynamical system. Introduced by George Sugihara and colleagues in their landmark 2012 Science paper, CCM exploits Takens' embedding theorem: if variable X causally influences Y, the historical record of Y contains enough information to recover the states of X. Causality is confirmed when cross-map skill improves—converges—as the time-series library grows longer.The Granger causality test, introduced by Clive W. J. Granger in 1969, assesses whether the past values of one time series help predict another beyond what the latter's own past already explains. It defines causality in a strictly predictive sense rather than as a structural or physical cause.
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ScholarGate방법 비교: Transfer Entropy · Convergent Cross Mapping · Granger Causality. 2026-06-18에 다음에서 검색함: https://scholargate.app/ko/compare