A mutual information approach to calculating nonlinearity

A mutual information approach to calculating nonlinearity

A new method to measure nonlinear dependence between two variables is described using mutual information to analyse 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 tes...

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Veröffentlicht in:Stat (International Statistical Institute) 2015, Vol.4 (1), p.291-303
1. Verfasser: Smith, Reginald
Format: Artikel
Sprache:eng
Schlagworte:
information
linear models
nonparametric methods
regression
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Zusammenfassung:A new method to measure nonlinear dependence between two variables is described using mutual information to analyse 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 test. Copyright © 2015 John Wiley & Sons, Ltd.
ISSN:2049-1573
2049-1573
DOI:10.1002/sta4.96