Identifying the Most Relevant Lag with Runs
In this paper, we propose a nonparametric statistical tool to identify the most relevant lag in the model description of a time series. It is also shown that it can be used for model identification. The statistic is based on the number of runs, when the time series is symbolized depending on the emp...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2015-04-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/17/5/2706 |