Abstract
We propose two methods to measure all (linear and nonlinear) statistical dependences in a stationary time series. Presuming ergodicity, the measures can be obtained from efficient numerical algorithms.
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Pompe, B. Measuring statistical dependences in a time series. J Stat Phys 73, 587–610 (1993). https://doi.org/10.1007/BF01054341
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DOI: https://doi.org/10.1007/BF01054341