Lag selection for regression models using high-dimensional mutual information
(2006) 14th European Symposium on Artificial Neural Networks (ESANN 2006) — Location: Bruges (Belgium) (26.April.2006)
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- Abstract
- Mutual information may be used to select the embedding lag of a time series. However, this lag selection is usually limited to the analysis of the mutual information between a pair of lagged values in the series. In this paper, generalized mutual information estimators are proposed to take into account more than two variables in the lag selection. Experimental results show that lag selection using mutual information should also take into account the output of the regression model.
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Citations
Simon, G., & Verleysen, M. (2006). Lag selection for regression models using high-dimensional mutual information. Proceedings of the 14th European Symposium on Artificial Neural Networks (ESANN 2006), 395-400. https://hdl.handle.net/2078.5/22056