Consistent Nonparametric Entropy-Based Testing
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- Information indices: Unification and applications.
- Entropy and predictability of stock market returns.
- Consistent specification tests for semiparametric/nonparametric models based on series estimation methods
- Entropy, divergence and distance measures with econometric applications
- Nonparametric tests for model selection with time series data
- Testing time reversibility without moment restrictions
- Time-varying model averaging
- Statistical dependence: beyond Pearson's
- Strong consistency of local linear estimation of a conditional density function under random censorship
- P. C. Mahalanobis in the context of current econometrics research
- Nonparametric series density estimation and testing
- Testing for symmetry and conditional symmetry using asymmetric kernels
- Semiparametric tests of conditional moment restrictions under weak or partial identification
- Consistent model specification tests based on \(k\)-nearest-neighbor estimation method
- Testing for the sandwich-form covariance matrix of the quasi-maximum likelihood estimator
- Fractional entropy-based test of uniformity with power comparisons
- Time reversibility of stationary regular finite-state Markov chains
- A versatile and robust metric entropy test of time-reversibility, and other hypotheses
- Non parametric portmanteau tests for detecting non linearities in high dimensions
- Least tail-trimmed squares for infinite variance autoregressions
- Testing the Markov property with high frequency data
- A non-parametric independence test using permutation entropy
- Some properties of local Gaussian correlation and other nonlinear dependence measures
- Entropy-based tests of uniformity: A Monte Carlo power comparison
- Testing structural change in partially linear models
- A nonparametric test for equality of distributions with mixed categorical and continuous data
- Hypotheses testing based on modified nonparametric estimation of an affinity measure between two distributions
- Nonparametric entropy-based tests of independence between stochastic processes
- Uniform convergence rate of the seminonparametric density estimator and testing for similarity of two unknown densities
- A Robust Entropy-Based Test of Asymmetry for Discrete and Continuous Processes
- A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE
- A loss function approach to model specification testing and its relative efficiency
- Measures of Dependence and Tests of Independence
- A consistent specification test of independence
- Testing for dependence in the input to a linear time series model
- Nonparametric statistics for testing of linearity and serial independence
- A nonparametric approach to k-sample inference based on entropy
- A CONSISTENT MODEL SPECIFICATION TEST BASED ON THE KERNEL SUM OF SQUARES OF RESIDUALS
- A consistent model specification test with mixed discrete and continuous data
- Diagnostic checking for the adequacy of nonlinear time series models
- Testing serial independence via density-based measures of divergence
- TESTING SERIAL INDEPENDENCE USING THE SAMPLE DISTRIBUTION FUNCTION
- Testing Conditional Independence Restrictions
- Most stringent test of independence for time series
- The Kullback-Leibler autodependogram
- On the Kozachenko-Leonenko entropy estimator
- International market links and volatility transmission
- Pseudo-maximum likelihood estimation in two classes of semiparametric diffusion models
- Exponential series estimator of multivariate densities
- Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
- Nonparametric tests for serial independence based on quadratic forms
- Bootstrap non-parametric significance test
- Blockwise empirical entropy tests for time series regressions
- Information measures of kernel estimation
- An efficient integrated nonparametric entropy estimator of serial dependence
- Testing for Serial Independence: Beyond the Portmanteau Approach
- A test for volatility spillover with application to exchange rates
- Penalized time-varying model averaging
- Rank-based max-sum tests for mutual independence of high-dimensional random vectors
- Testing unconditional and conditional independence via mutual information
- An entropy-based measure of correlation for time series
- Adaptive permutation tests for serial independence
- Time series independence testing using (h,)-divergence
- Utilizing symmetric Phi-divergence in serial independence testing
- Symmetric (h, )-divergence approach to serial independence testing
- Improving the Bickel-Rosenblatt global measure of deviation and goodness-of-fit test
- A novel method for testing serial independence via generalized divergence
- Generalized runs tests for the IID hypothesis
- Semi-nonparametric estimation and misspecification testing of diffusion models
- Recognizing and visualizing departures from independence in bivariate data using local Gaussian correlation
- Intrinsic credible regions: an objective Bayesian approach to interval estimation (with comments and rejoinder)
- Assessing the dependence structure of the components of hybrid time series processes using mutual information
- A smoothed bootstrap test for independence based on mutual information
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