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A Mutual Information Approach to Calculating Nonlinearity
November 29, 2015 Β· Declared Dead Β· π arXiv.org
"No code URL or promise found in abstract"
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Authors
Reginald D. Smith
arXiv ID
1512.00750
Category
cs.IT: Information Theory
Citations
68
Venue
arXiv.org
Last Checked
5 months ago
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.
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