Since 2014
Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
Dynamic Econometric Models
View Archive Info| Field | Value | |
| Title |
Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
|
|
| Creator |
Orzeszko, Witold; Nicolaus Copernicus University in ToruĊ
|
|
| Subject |
nonlinearity, mutual information coefficient, mutual information, serial dependencies
|
|
| Description |
Construction, estimation and application of the mutual information measure have been presented in this paper. The simulations have been carried out to verify its usefulness to detect nonlinear serial dependencies. Moreover, the mutual information measure has been applied to the indices and the sector sub-indices of the Warsaw Stock Exchange.
|
|
| Publisher |
Nicolaus Copernicus University
|
|
| Contributor |
—
|
|
| Date |
2010-07-17
|
|
| Type |
info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion — — |
|
| Format |
application/pdf
|
|
| Identifier |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.008
10.12775/DEM.2010.008 |
|
| Source |
Dynamic Econometric Models; Vol 10 (2010); 97-106
Dynamic Econometric Models; Vol 10 (2010); 97-106 2450-7067 1234-3862 |
|
| Language |
eng
|
|
| Relation |
http://apcz.pl/czasopisma/index.php/DEM/article/view/DEM.2010.008/4030
|
|