A Dependence Metric for Possibly Nonlinear Processes
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Cites work
- A Dependence Metric for Possibly Nonlinear Processes
- A simple nonlinear time series model with misleading linear properties
- An introduction to copulas. Properties and applications
- Entropy and predictability of stock market returns.
- scientific article; zbMATH DE number 708500 (Why is no real title available?)
- scientific article; zbMATH DE number 4001209 (Why is no real title available?)
- scientific article; zbMATH DE number 743688 (Why is no real title available?)
- Nonparametric estimation of distributions with categorical and continuous data
- Testing for Pairwise Serial Independence Via the Empirical Distribution Function
- Testing independence by nonparametric kernel method
Cited in
(47)- Detection of non-linear structure in time series
- Operational risk aggregation based on business line dependence: a mutual information approach
- Competitive conditions and sectors' productive efficiency: a conditional non-parametric frontier analysis
- Measure-invariance of copula functions as tool for testing no-arbitrage assumption
- Entropy and predictability of stock market returns.
- Statistical dependence: beyond Pearson's
- Nonlinear time series clustering based on Kolmogorov-Smirnov 2D statistic
- Entropy-based independence test
- Generalized aggregation of misspecified models: with an application to asset pricing
- Information quantity evaluation of nonlinear time series processes and applications
- Growth and convergence: a profile of distribution dynamics and mobility
- A versatile and robust metric entropy test of time-reversibility, and other hypotheses
- A non-parametric independence test using permutation entropy
- The autodependogram: a graphical device to investigate serial dependences
- Sir Clive Granger's contributions to nonlinear time series and econometrics
- Economic Reform, Growth and Convergence in China
- A (ECONOPHYSICS) NOTE ON VOLATILITY IN EXCHANGE RATE TIME SERIES
- Nonparametric entropy-based tests of independence between stochastic processes
- A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes
- Comparison, utility, and partition of dependence under absolutely continuous and singular distributions
- A Dependence Metric for Possibly Nonlinear Processes
- Martingale Difference Divergence Matrix and Its Application to Dimension Reduction for Stationary Multivariate Time Series
- Testing serial independence via density-based measures of divergence
- Consistent GMM residuals-based tests of functional form
- Disparity, shortfall, and twice-endogenous HARA utility
- Nonparametric dependence modeling via cluster analysis: A financial contagion application
- Multivariate singular spectrum analysis for forecasting revisions to real-time data
- Reconstructing nonlinear structure in regression residuals
- The Kullback-Leibler autodependogram
- The mathematical structure of the genetic code: a tool for inquiring on the origin of life
- Information measures of kernel estimation
- An efficient integrated nonparametric entropy estimator of serial dependence
- Uncertainty, information, and disagreement of economic forecasters
- The Hellinger Correlation
- An application of copulas to OPEC’s changing influence on fossil fuel prices
- Elaboration Models with Symmetric Information Divergence
- A test of independence based on a generalized correlation function
- The Berkelmans–Pries dependency function: A generic measure of dependence between random variables
- Assessing serial dependence in ordinal patterns processes using chi-squared tests with application to EEG data analysis
- Information measures in perspective
- From model misspecification to multidimensional welfare: a conversation with Professor Esfandiar Maasoumi
- Another Look at Dependence: The Most Predictable Aspects of Time Series
- Revised BDS test
- More accurate, calibrated bootstrap confidence intervals for estimating the correlation between two time series
- The role of orthogonal polynomials in adjusting hyperpolic secant and logistic distributions to analyse financial asset returns
- Assessing the dependence structure of the components of hybrid time series processes using mutual information
- Normalized information-based divergences
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