A Dependence Metric for Nonlinear Time Series

A transformed metric entropy measure of dependence is studied which satisfies several desirable properties and is capable of impressive performance in identifying nonlinear dependence in time series. The measure is applicable for both continuous and discrete variables. A nonparametric kernel density implementation is considered here for ten models including MA, AR, integrated series and chaotic dynamics.

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Year of publication:	2000-08-01
Authors:	Granger, C. W. ; Maasoumi, Esfandiar
Institutions:	Econometric Society

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Extent:	application/pdf
Series:	Econometric Society World Congress 2000 Contributed Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	The text is part of a series Econometric Society World Congress 2000 Contributed Papers Number 0421
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005328756