Tests for Serial Independence and Linearity Based on Correlation Integrals
نویسندگان
چکیده
منابع مشابه
Tests for Serial Independence and Linearity based on Correlation Integrals
We propose information theoretic tests for serial independence and linearity in time series. The test statistics are based on the conditional mutual information, a general measure of dependence between lagged variables. In case of rejecting the null hypothesis, this readily provides insights into the lags through which the dependence arises. The conditional mutual information is estimated using...
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ژورنال
عنوان ژورنال: Studies in Nonlinear Dynamics & Econometrics
سال: 2002
ISSN: 1558-3708
DOI: 10.2202/1558-3708.1005