Detection of non-linear structure in time series

C-Tier
Journal: Economics Letters
Year: 2009
Volume: 105
Issue: 1
Pages: 1-6

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

In 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.

Technical Details

RePEc Handle
repec:eee:ecolet:v:105:y:2009:i:1:p:1-6
Journal Field
General
Author Count
2
Added to Database
2026-01-25