mirror of https://github.com/jlizier/jidt
41 lines
2.2 KiB
Python
Executable File
41 lines
2.2 KiB
Python
Executable File
# = Example 3 - Transfer entropy on continuous data using kernel estimators =
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# Simple transfer entropy (TE) calculation on continuous-valued data using the (box) kernel-estimator TE calculator.
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from jpype import *
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import random
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import math
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# Change location of jar to match yours:
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jarLocation = "../../infodynamics.jar"
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# Start the JVM (add the "-Xmx" option with say 1024M if you get crashes due to not enough memory space)
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startJVM(getDefaultJVMPath(), "-ea", "-Djava.class.path=" + jarLocation)
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# Generate some random normalised data.
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numObservations = 1000;
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covariance=0.4;
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# Source array of random normals:
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sourceArray = [random.normalvariate(0,1) for r in xrange(numObservations)];
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# Destination array of random normals with partial correlation to previous value of sourceArray
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destArray = [0] + [sum(pair) for pair in zip([covariance*y for y in sourceArray[0:numObservations-1]], \
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[(1-covariance)*y for y in [random.normalvariate(0,1) for r in xrange(numObservations-1)]] ) ];
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# Uncorrelated source array:
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sourceArray2 = [random.normalvariate(0,1) for r in xrange(numObservations)];
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# Create a TE calculator and run it:
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teCalcClass = JPackage("infodynamics.measures.continuous.kernel").TransferEntropyCalculatorKernel
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teCalc = teCalcClass();
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teCalc.setProperty("NORMALISE", "true"); # Normalise the individual variables
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teCalc.initialise(1, 0.5); # Use history length 1 (Schreiber k=1), kernel width of 0.5 normalised units
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teCalc.setObservations(JArray(JDouble, 1)(sourceArray), JArray(JDouble, 1)(destArray));
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# For copied source, should give something close to 1 bit:
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result = teCalc.computeAverageLocalOfObservations();
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print("TE result %.4f bits; expected to be close to %.4f bits for these correlated Gaussians but biased upwards" % \
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(result, math.log(1/(1-math.pow(covariance,2)))/math.log(2)));
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teCalc.initialise(); # Initialise leaving the parameters the same
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teCalc.setObservations(JArray(JDouble, 1)(sourceArray2), JArray(JDouble, 1)(destArray));
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# For random source, it should give something close to 0 bits
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result2 = teCalc.computeAverageLocalOfObservations();
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print("TE result %.4f bits; expected to be close to 0 bits for uncorrelated Gaussians but will be biased upwards" % \
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result2);
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