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.

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Year of publication:	2009
Authors:	Matilla-García, Mariano ; Ruiz Marín, Manuel
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 105.2009, 1, p. 1-6
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005023527