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...

Full description

Bibliographic Details
Main Authors: Úrsula Faura, Matilde Lafuente, Mariano Matilla-García, Manuel Ruiz
Format: Article
Language:English
Published: MDPI AG 2015-04-01
Series:Entropy
Subjects:
Online Access:http://www.mdpi.com/1099-4300/17/5/2706

Similar Items