A Mutual Information Approach to Calculating Nonlinearity
Information Theory
2015-12-17 v1 math.IT
Abstract
A new method to measure nonlinear dependence between two variables is described using mutual information to analyze the separate linear and nonlinear components of dependence. This technique, which gives an exact value for the proportion of linear dependence, is then compared with another common test for linearity, the Brock, Dechert and Scheinkman (BDS) test.
Cite
@article{arxiv.1512.00750,
title = {A Mutual Information Approach to Calculating Nonlinearity},
author = {Reginald D. Smith},
journal= {arXiv preprint arXiv:1512.00750},
year = {2015}
}
Comments
13 pages, 2 figures