Quantifying information transmission between stochastic processes

In order to quantify the degree of coupling between stochastic processes with discrete state space, a new quantity called transfer entropy was introduced by T. Schreiber (2000). Recently, this concept has been carried over to continuous processes. Based on information theory, transfer entropy gives the amount of information which is transmitted from one process to the other. In contrast to mutual information any information which is travelling within the driven process through time is excluded. Thus, transfer entropy measures the effective information transmission from the driving system to the driven system. For bidirectional coupled systems the transfered information in each coupling direction can be calculated.