A versatile and robust metric entropy test of time-reversibility, and other hypotheses
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Cites work
- scientific article; zbMATH DE number 48093 (Why is no real title available?)
- scientific article; zbMATH DE number 1069593 (Why is no real title available?)
- A Dependence Metric for Possibly Nonlinear Processes
- A consistent test for conditional symmetry in time series models
- A single-blind controlled competition among tests for nonlinearity and chaos
- A test for independence based on the correlation dimension
- Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence
- Comparison of maximum entropy and higher-order entropy estimators.
- Conditional Heteroskedasticity in Asset Returns: A New Approach
- Conditional and Unconditional Asymmetry in U.S. Macroeconomic Time Series
- Consistent Nonparametric Entropy-Based Testing
- Entropy and predictability of stock market returns.
- Generalized autoregressive conditional heteroscedasticity
- Information and entropy econometrics -- editor's view.
- Kernel-based nonlinear canonical analysis and time reversibility
- Likelihood of a model and information criteria
- On Estimation of a Probability Density Function and Mode
- On a measure of lack of fit in time series models
- On time-reversibility and the uniqueness of moving average representations for non-Gaussian stationary time series
- Testing Serial Independence against Time Irreversibility
- Testing time reversibility without moment restrictions
- Tests for Serial Independence and Linearity Based on Correlation Integrals
- The Stationary Bootstrap
- Time-reversibility of linear stochastic processes
Cited in
(19)- Mixtures of equispaced normal distributions and their use for testing symmetry with univariate data
- Variance of entropy for testing time-varying regimes with an application to meme stocks
- A nonparametric test for equality of distributions with mixed categorical and continuous data
- Revised BDS test
- Estimation of characteristics of randomized static models of data (entropy-robust approach)
- Estimating the characteristics of randomized dynamic data models (the entropy-robust approach)
- An efficient integrated nonparametric entropy estimator of serial dependence
- Tests for time reversibility: a complementarity analysis
- Time reversibility tests of volume-volatility dynamics for stock returns
- A copula spectral test for pairwise time reversibility
- Testing serial independence via density-based measures of divergence
- Peaks, gaps, and time‐reversibility of economic time series
- Time irreversible copula-based Markov models
- Randomized machine learning procedures
- Utilizing symmetric Phi-divergence in serial independence testing
- Mathematical methods of randomized machine learning
- Assessing time-reversibility under minimal assumptions
- Nonparametric entropy-based tests of independence between stochastic processes
- Bootstrap-assisted tests of symmetry for dependent data
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