Detection of non-linear structure in time series
AbstractIn this paper we introduce a new method to detect lags in time series by using permutation entropy. The method is applied to several well-known dynamic processes. The good power performance of the new method in detecting memory structure/lags is notable and gives rise to an expectation that it may form a suitable basis for constructive specification searches.
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Bibliographic InfoArticle provided by Elsevier in its journal Economics Letters.
Volume (Year): 105 (2009)
Issue (Month): 1 (October)
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