USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS

DOI10.1111/j.1467-9892.1994.tb00200.xzbMath0807.62067OpenAlexW2131843647MaRDI QIDQ4319838

Jin-Lung Lin, Clive W. J. Granger

Publication date: 6 February 1995

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9892.1994.tb00200.x

zbMATH Keywords

nonlinear modelsimulationsKendall's taukernel density estimationautocorrelationmutual information functionlagspartial autocorrelation coefficients

Mathematics Subject Classification ID

Density estimation (62G07) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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