Kernel change point detection based on convergent cross mapping

DOI10.1016/J.CNSNS.2022.106318MaRDI QIDQ6495291FDOQ6495291

Authors: Xinlei Ge, Aijing Lin 

Publication date: 30 April 2024

Published in: Communications in Nonlinear Science and Numerical Simulation (Search for Journal in Brave)

zbMATH Keywords

transfer entropyconvergent cross mappingdynamic causalitykernel change point detection

Mathematics Subject Classification ID

Nonparametric inference (62Gxx) Parametric inference (62Fxx) Multivariate analysis (62Hxx)

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• Dating multiple change points in the correlation matrix
• Comparison of transfer entropy methods for financial time series
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