MEASURING STATISTICAL DEPENDENCES IN A TIME-SERIES

Authors
POMPE B
Citation
B. Pompe, MEASURING STATISTICAL DEPENDENCES IN A TIME-SERIES, Journal of statistical physics, 73(3-4), 1993, pp. 587-610
Citations number
29
Categorie Soggetti
Mathematical Method, Physical Science","Physycs, Mathematical
Journal title
Journal of statistical physics → ACNP
ISSN journal
00224715
Volume
73
Issue
3-4
Year of publication
1993
Pages
587 - 610
Database
ISI
SICI code
0022-4715(1993)73:3-4<587:MSDIAT>2.0.ZU;2-K
Abstract
We propose two methods to measure all (linear and nonlinear) statistic al dependences in a stationary time series. Presuming ergodicity, the measures can be obtained from efficient numerical algorithms.