Detecting lags in nonlinear models using general mutual information

DOI10.3770/J.ISSN:1000-341X.2010.01.008MaRDI QIDQ3014369zbMATH OpenFDO

Authors

Publication date 19 July 2011

Full work available at URL https://doi.org/10.3770/J.ISSN:1000-341X.2010.01.008

zbMATH Keywords

lag dependencenonlinear time series

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
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• Measures of mutual and causal dependence between two time series (Corresp.)

Cited in

(6)

• 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
• Detecting conditional independence for modeling non-Gaussian time series
• Using time-delayed mutual information to discover and interpret temporal correlation structure in complex populations
• USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
• Identification of nonlinear VAR models using general conditional independence graphs

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