Journal
STAT
Volume 4, Issue 1, Pages 291-303Publisher
WILEY
DOI: 10.1002/sta4.96
Keywords
information; linear models; nonparametric methods; regression
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A new method to measure nonlinear dependence between two variables is described using mutual information to analyse 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 test. Copyright (C) 2015 John Wiley & Sons, Ltd.
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