Fascinating links!...thank you Robert.
________________________________
From: Robert Iquiapaza
Sent: Saturday, June 6, 2009 5:14:51 AM
Subject: Re: [R-SIG-Finance] determine non-linear correlation
Here there are another approaches to the
topic
A set of novel correlation tests for nonlinear system
variables- â–ºepsrcham.org.uk [PDF]
http://www.epsrcham.org.uk/Papers_files/2007%20Vol%2038%20No%201%20IJSS.pdf
LF Zhang, QM Zhu, A Longden -
International Journal of Systems Science, 2007 - informaworld.com
A nonlinear
correlation measure for multivariable data set
Q Wang, Y Shen, JQ Zhang - Physica D: Nonlinear Phenomena, 2005 -
Elsevier
In R Package tseriesChaos has some measures for nonlinearity in a
time series from
http://www.mpipks-dresden.mpg.de/~tisean/Tisean_3.0.1/docs/chaospaper/TiseanHTML.html
" All these nonlinear correlation tests have their individual
drawbacks." Zhang et
al
From: Mark Breman
Sent: Friday, June 05, 2009 4:07 PM
To: r-sig-finance@stat.math.ethz.ch
Subject: Re: [R-SIG-Finance] determine non-linear
correlation
Here is the thesis I was talking about (see attached pdf file)
I am working on an illustration (example) of the problem I'm trying to
solve. I will post it to this group this weekend...
Regards,
-Mark-
________________________________
Sent: Friday, June 5, 2009 1:18:55
PM
Subject: Re: [R-SIG-Finance]
determine non-linear correlation
correlation by definition is a linear measure of assocation. So what is the
presice definition of non-linear correlation?
can you give the thesis......I am curious to
know....
Kaushik Bhattacharjee
________________________________
From: Mark Breman
To: r-sig-finance@stat.math.ethz.ch
Sent: Thursday, June 4, 2009 12:45:17
AM
Subject: [R-SIG-Finance]
determine non-linear correlation
I would like to know if two
financial time-series are nonlinear correlated, and if so, what that correlation
function is.
Is there an easy way to do this with R?
I have read a
thesis about the "high order correlation coefficient to solve the nonlinear
correlation problem" but I'm not able to translate this into a solution for my
problem. All these statistics are very interesting but also challenging for
me...
Kind
regards,
-Mark-
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