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2006

Lag selection for regression models using high-dimensional mutual information

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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.
Geoffroy Simon, Michel Verleysen
Added 31 Oct 2010
Updated 31 Oct 2010
Type Conference
Year 2006
Where ESANN
Authors Geoffroy Simon, Michel Verleysen
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