Detection of non-linear structure in time series
In this paper we introduce a new method to detect lags in time series by using permutation entropy. The method is applied to several well-known dynamic processes. The good power performance of the new method in detecting memory structure/lags is notable and gives rise to an expectation that it may form a suitable basis for constructive specification searches.
Year of publication: |
2009
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Authors: | Matilla-García, Mariano ; Ruiz Marín, Manuel |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 1, p. 1-6
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Publisher: |
Elsevier |
Saved in:
Saved in favorites
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