Measure of Dependence for Financial Time-Series
| Autor: | Winistörfer, Martin, Zhdankin, Ivan |
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| Rok vydání: | 2023 |
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| Druh dokumentu: | Working Paper |
| Popis: | Assessing the predictive power of both data and models holds paramount significance in time-series machine learning applications. Yet, preparing time series data accurately and employing an appropriate measure for predictive power seems to be a non-trivial task. This work involves reviewing and establishing the groundwork for a comprehensive analysis of shaping time-series data and evaluating various measures of dependence. Lastly, we present a method, framework, and a concrete example for selecting and evaluating a suitable measure of dependence. Comment: 9 pages, 6 figures. arXiv admin note: text overlap with arXiv:1111.6857 by other authors |
| Databáze: | arXiv |
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