Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient
DOI:
https://doi.org/10.12775/DEM.2010.008Keywords
nonlinearity, mutual information coefficient, mutual information, serial dependenciesAbstract
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.
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