A mutual information approach to calculating nonlinearity
Stat2015Vol. 4(1), pp. 291–303
Citations Over TimeTop 20% of 2015 papers
Abstract
A new method to measure nonlinear dependence between two variables is described using mutual information to analyse the separate linear and nonlinear components of dependence. This technique, which gives an exact value for the proportion of linear dependence, is then compared with another common test for linearity, the Brock, Dechert and Scheinkman test. Copyright © 2015 John Wiley & Sons, Ltd.
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