Consistent Nonparametric Entropy-Based Testing
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Publication:5751771
DOI10.2307/2298005zbMath0719.62055OpenAlexW2071010524MaRDI QIDQ5751771
Publication date: 1991
Published in: The Review of Economic Studies (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/2298005
time seriesdensity estimationweightingKullback-Leibler information criterionrandom walk hypothesisexchange rate seriesnormal null limiting distributionone-sided testing of nested hypothesestesting for serial independence
Applications of statistics to economics (62P20) Density estimation (62G07) Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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