Estimation of Directed Dependencies in Time Series Using Conditional Mutual Information and Non-linear Prediction.
Payam Shahsavari BaboukaniCarina GraversenJan ØstergaardPublished in: EUSIPCO (2020)
Keyphrases
- conditional mutual information
- mutual information
- financial time series
- exponential smoothing
- prediction accuracy
- selection criterion
- semi parametric
- prediction model
- moving average
- prediction algorithm
- box jenkins
- stock market
- prediction error
- dynamic time warping
- chaotic time series
- machine learning
- parameter estimation
- density estimation
- similarity measure
- feature extraction