A Mutual Information Approach to Calculating Nonlinearity

Published 29 Nov 2015 in cs.IT and math.IT | (1512.00750v1)

Abstract: A new method to measure nonlinear dependence between two variables is described using mutual information to analyze 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 (BDS) test.

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Authors (1)

Reginald D. Smith

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