Fascinating links!...thank you Robert.



________________________________
From: Robert Iquiapaza <rbali@ufmg.br>

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- ►epsrcham.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-


      
	[[alternative HTML version deleted]]