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USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS
Abstract
Abstract. 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.
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Cited by
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Causality detection based on information-theoretic approaches in time series analysis
HLAVACKOVASCHINDLER, K., PALUS, M., VEJMELKA, M., & BHATTACHARYA, J. (2007) · Physics Reports · doi:10.1016/j.physrep.2006.12.004 · Cited by 800
Undirected graphs of frequency-dependent functional connectivity in whole brain networks
Salvador, R., Suckling, J., Schwarzbauer, C., & Bullmore, E. (2005) · Philosophical Transactions of the Royal Society B: Biological Sciences · doi:10.1098/rstb.2005.1645 · Cited by 437
Mutual information: a measure of dependency for nonlinear time series
Dionisio, A., Menezes, R., & Mendes, D. A. (2004) · Physica A: Statistical Mechanics and its Applications · doi:10.1016/j.physa.2004.06.144 · Cited by 213
Metadata
- Authors
- Granger, C., & Lin, J.
- Venue
- Journal of Time Series Analysis
- Publisher
- Wiley
- Published
- 1994-07
- Volume
- 15
- Issue
- 4
- Pages
- 371-384
- ISSN
- 0143-9782 (ISSN-L)
- 1467-9892
- OpenAlex
- W2131843647
- Cited by
- 225
- References
- 0
- FWCI
- 2.50
- Type
- journal article
- Language
- en
- Open access
- closed
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- CoChat. (2026). Citation check: USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS. https://app.cochat.ai/papers/10.1111/j.1467-9892.1994.tb00200.x
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- Granger, C., & Lin, J. (1994). USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS. Journal of Time Series Analysis. https://doi.org/10.1111/j.1467-9892.1994.tb00200.x
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