Lag selection for regression models using high-dimensional mutual information

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.

• Type: Conference
• Year: 2006
• Where: ESANN
• Authors: Geoffroy Simon, Michel Verleysen
• Keywords: Embedding Lag, ESANN 2006, ESANN 2007, Lag Selection, Mutual Information