Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient

dc.contributor.author	Orzeszko, Witold	pl
dc.date.accessioned	2014-11-07T08:50:46Z
dc.date.available	2014-11-07T08:50:46Z
dc.date.issued	2010-07-17	pl
dc.description.abstract	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.	en
dc.identifier.citation	Dynamic Econometric Models, Vol. 10, pp. 97-106	pl
dc.identifier.issn	1234-3862	pl
dc.identifier.other	doi:10.12775/DEM.2010.008	pl
dc.identifier.uri	http://repozytorium.umk.pl/handle/item/2238
dc.language.iso	eng	pl
dc.rights	Attribution-NoDerivs 3.0 Poland	pl
dc.rights	info:eu-repo/semantics/openAccess	pl
dc.rights.uri	http://creativecommons.org/licenses/by-nd/3.0/pl/	pl
dc.subject	nonlinearity	en
dc.subject	mutual information coefficient	en
dc.subject	mutual information	en
dc.subject	serial dependencies	en
dc.title	Measuring Nonlinear Serial Dependencies Using the Mutual Information Coefficient	pl
dc.type	info:eu-repo/semantics/article	pl

Files