MEASURING NONLINEAR DEPENDENCE BETWEEN TIME SERIES

FAN Chongjun, WANG Huanchen. MEASURING NONLINEAR DEPENDENCE BETWEEN TIME SERIES[J]. INFORMATION AND CONTROL, 1998, 27(3): 185-189.

Citation:

FAN Chongjun, WANG Huanchen. MEASURING NONLINEAR DEPENDENCE BETWEEN TIME SERIES[J]. INFORMATION AND CONTROL, 1998, 27(3): 185-189.

Citation:

FAN Chongjun, WANG Huanchen. MEASURING NONLINEAR DEPENDENCE BETWEEN TIME SERIES[J]. INFORMATION AND CONTROL, 1998, 27(3): 185-189.

Abstract

In this paper, a statistic-Nonlinear Dependence Coefficient based on fractal dimension is proposed. This statistic is designed for measuring nonlinear dependence between time series, and can be used in variable selecting for economical forecasting. Numerical results show the statistic is reasonable.

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