A Mutual Information Approach to Calculating Nonlinearity
نویسنده
چکیده
A new method to measure nonlinear dependence between two variables is described using mutual information to analyze the separate linear and nonlinear components of dependence. This technique, which gives an exact value for the proportion of linear dependence, is then compared with another common test for linearity, the Brock, Dechert and Scheinkman (BDS) test. Copyright c © 0000 John Wiley & Sons, Ltd.
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عنوان ژورنال:
- CoRR
دوره abs/1512.00750 شماره
صفحات -
تاریخ انتشار 2015