USING THE MUTUAL INFORMATION COEFFICIENT TO IDENTIFY LAGS IN NONLINEAR MODELS

Clive Granger and Jin‐Lung Lin

Journal of Time Series Analysis, 1994, vol. 15, issue 4, 371-384

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.

Date: 1994
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