We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...

We propose information theoretic tests for serial independence and linearity in time series. The test statistics are based on the conditional mutual information, a general measure of dependence between lagged variables. In case of rejecting the null hypothesis, this readily provides insights...

We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...

We propose information theoretic tests for serial independence and linearity in time series. The test statisticsare based on the conditional mutual information, a general measure of dependence between lagged variables. In caseof rejecting the null hypothesis, this readily provides insights into...

The electricity system price of the Nord Pool spot market is analysed. Different time scale analysis tools are assessed with focus on the Hurst exponent and long range correlations. Daily and weekly periodicities of the spot market are identified. Even though space time separation plots suggest...

We propose information theoretic tests for serial independence and linearity in time series against nonlinear dependence on lagged variables, based on the conditional mutual information. The conditional mutual information, which is a general measure for dependence, is estimated using the...

The analysis of records of biophysical signals like EEG have become increasingly interesting to physicists since the development of new algorithms for time-series analysis. This analysis, however, requires both—an adequate methodology assessing the time-series characteristics and an...

We propose information theoretic tests for serial independence and linearity in time series against nonlinear dependence on lagged variables, based on the conditional mutual information. The conditional mutual information, which is a general measure for dependence, is estimated using the...

We propose a new time series model aimed at forecasting crude oil prices. The proposed specification is an unobserved components model with an asymmetric cyclical component. The asymmetric cycle is defined as a sine-cosine wave where the frequency of the cycle depends on past oil price...