Search Results - subject:"Conditional mutual information"

Estimating historical downside risks of global financial market indices via inflation rate-adjusted dependence graphs

Choi, Insu; Kim, Woo Chang - In: Research in international business and finance 66 (2023), pp. 1-24

Persistent link: https://www.econbiz.de/10014463360

Time-efficient estimation of conditional mutual information for variable selection in classification

Todorov, Diman; Setchi, Rossi - In: Computational Statistics & Data Analysis 72 (2014) C, pp. 105-127

An algorithm is proposed for calculating correlation measures based on entropy. The proposed algorithm allows exhaustive exploration of variable subsets on real data. Its time efficiency is demonstrated by comparison against three other variable selection methods based on entropy using 8 data...

Persistent link: https://www.econbiz.de/10010730217

Conditional independence graph for nonlinear time series and its application to international financial markets

Gao, Wei; Zhao, Hongxia - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 10, pp. 2460-2469

between component series are tested efficiently and consistently using conditional mutual information statistics and a …

Persistent link: https://www.econbiz.de/10010662566

Markov chain order estimation with conditional mutual information

Papapetrou, M.; Kugiumtzis, D. - In: Physica A: Statistical Mechanics and its Applications 392 (2013) 7, pp. 1593-1601

We introduce the Conditional Mutual Information (CMI) for the estimation of the Markov chain order. For a Markov chain …

Persistent link: https://www.econbiz.de/10011063056