Detecting direct nonlinearity of multivariate time series

MaRDI QIDQ4650017zbMATH OpenFDO

Authors

Publication date 15 November 2012

Full work available at URL http://www.pphmj.com/abstract/6973.htm

zbMATH Keywords

bootstrapdirect nonlinearitymultivariate time seriessurrogate data

Mathematics Subject Classification ID

Statistical aspects of information-theoretic topics (62B10) Nonparametric statistical resampling methods (62G09) Hypothesis testing in multivariate analysis (62H15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(8)

• Detection of non-linear structure in time series
• Testing for nonlinearity using redundancies: Quantitative and qualitative aspects
• Detecting and evaluating intrinsic nonlinearity present in the mutual dependence between two variables
• Conditional independence graph for nonlinear time series and its application to international financial markets
• Testing for co-nonlinearity
• Conditional entropy of nonlinear dynamical systems
• Detecting lags in nonlinear models using general mutual information
• Information-Theoretic Analysis of Serial Dependence and Cointegration

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