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USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
Author(s) -
Granger Clive,
Lin JinLung
Publication year - 1994
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.1994.tb00200.x
Subject(s) - mathematics , mutual information , nonlinear system , series (stratigraphy) , property (philosophy) , simple (philosophy) , function (biology) , variable (mathematics) , econometrics , statistics , mathematical analysis , paleontology , philosophy , physics , epistemology , quantum mechanics , evolutionary biology , biology
. Two alternative methods are considered for identifying what lags to use in a nonlinear model relating a pair of series. One is based on a mutual information function, the other is Kendall's r. They both have the property that if each variable is instantaneously transformed, such that ranks are preserved, then the functions are unchanged. Simulations find properties of the functions and allow application to generated nonlinear series. In simple cases, the methods appear to find frequently the correct lags.