The Mutual Information Coefficient As a Measure Of Nonlinear Serial Dependences
DOI:
https://doi.org/10.12775/AUNC_ECON.2009.035Keywords
nonlinearity, mutual information, identification of dependenciesAbstract
The idea, estimation and applicability of the mutual information coefficient are presented. Simulations are provided to verify its usefulness to identify nonlinear serial dependencies. Moreover, the mutual information coefficient is applied to analyze the indices from The Warsaw Stock Exchange.
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