PID: a PDF-induced distance based on permutation cross-distribution entropy

DOI10.1007/s11071-019-05051-0zbMath1430.62196OpenAlexW2950387220WikidataQ127713656 ScholiaQ127713656MaRDI QIDQ2296210

Pengjian Shang, Jiayi He, Yali Zhang

Publication date: 17 February 2020

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11071-019-05051-0

zbMATH Keywords

probability distribution functionfinancial time seriesdissimilarity measuredistribution entropy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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