Detection of non-linear structure in time series

DOI10.1016/J.ECONLET.2009.04.014zbMath1181.62142OpenAlexW2081106542MaRDI QIDQ1046240

Mariano Matilla-García, Manuel Ruiz Marin

Publication date: 21 December 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2009.04.014

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Statistical aspects of information-theoretic topics (62B10)

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Cites Work

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• A non-parametric independence test using permutation entropy
• Entropy, divergence and distance measures with econometric applications
• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
• Measures of Dependence and Tests of Independence
• A Dependence Metric for Possibly Nonlinear Processes
• A compendium to information theory in economics and econometrics

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