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Detection of non-linear structure in time series

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  • Matilla-García, Mariano
  • Ruiz Marín, Manuel

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.

Suggested Citation

  • Matilla-García, Mariano & Ruiz Marín, Manuel, 2009. "Detection of non-linear structure in time series," Economics Letters, Elsevier, vol. 105(1), pages 1-6, October.
    • Handle: RePEc:eee:ecolet:v:105:y:2009:i:1:p:1-6
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    References listed on IDEAS

    as
    1. Clive Granger & Jin‐Lung Lin, 1994. "Using The Mutual Information Coefficient To Identify Lags In Nonlinear Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(4), pages 371-384, July.
    2. C. W. Granger & E. Maasoumi & J. Racine, 2004. "A Dependence Metric for Possibly Nonlinear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(5), pages 649-669, September.
    3. Matilla-Garci­a, Mariano & Ruiz Mari­n, Manuel, 2008. "A non-parametric independence test using permutation entropy," Journal of Econometrics, Elsevier, vol. 144(1), pages 139-155, May.
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    Citations

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    Cited by:

    1. Miguel Henry & George Judge, 2019. "Permutation Entropy and Information Recovery in Nonlinear Dynamic Economic Time Series," Econometrics, MDPI, vol. 7(1), pages 1-16, March.
    2. Liu, Hongzhi & Zhang, Xingchen & Zhang, Xie, 2020. "Multiscale complexity analysis on airport air traffic flow volume time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 548(C).
    3. Herrera Gómez, Marcos & Ruiz Marín, Manuel & Mur Lacambra, Jesús, 2014. "Testing Spatial Causality in Cross-section Data," MPRA Paper 56678, University Library of Munich, Germany.
    4. Traversaro, Francisco & Ciarrocchi, Nicolás & Cattaneo, Florencia Pollo & Redelico, Francisco, 2019. "Comparing different approaches to compute Permutation Entropy with coarse time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 513(C), pages 635-643.
    5. Helmut Elsinger, 2010. "Independence Tests based on Symbolic Dynamics," Working Papers 165, Oesterreichische Nationalbank (Austrian Central Bank).
    6. Yongmiao Hong & Xia Wang & Wenjie Zhang & Shouyang Wang, 2017. "An efficient integrated nonparametric entropy estimator of serial dependence," Econometric Reviews, Taylor & Francis Journals, vol. 36(6-9), pages 728-780, October.
    7. Marcos Herrera & Manuel Ruiz & Jesús Mur, 2013. "Detecting Dependence Between Spatial Processes," Spatial Economic Analysis, Taylor & Francis Journals, vol. 8(4), pages 469-497, February.
    8. Marcos Herrera & Jesús Mur & Manuel Ruiz, 2016. "Detecting causal relationships between spatial processes," Papers in Regional Science, Wiley Blackwell, vol. 95(3), pages 577-594, August.
    9. Matilla-García, Mariano & Marín, Manuel Ruiz & Dore, Mohammed I., 2014. "A permutation entropy based test for causality: The volume–stock price relation," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 398(C), pages 280-288.
    10. Weiß, Christian H. & Ruiz Marín, Manuel & Keller, Karsten & Matilla-García, Mariano, 2022. "Non-parametric analysis of serial dependence in time series using ordinal patterns," Computational Statistics & Data Analysis, Elsevier, vol. 168(C).
    11. Zunino, Luciano & Zanin, Massimiliano & Tabak, Benjamin M. & Pérez, Darío G. & Rosso, Osvaldo A., 2010. "Complexity-entropy causality plane: A useful approach to quantify the stock market inefficiency," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(9), pages 1891-1901.
    12. repec:onb:oenbwp:y::i:165:b:1 is not listed on IDEAS
    13. Yoon, Gawon, 2010. "Do real exchange rates really follow threshold autoregressive or exponential smooth transition autoregressive models?," Economic Modelling, Elsevier, vol. 27(2), pages 605-612, March.

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