Asymptotic Distribution Theory for Nonparametric Entropy Measures of Serial Dependence

DOI10.1111/j.1468-0262.2005.00597.xzbMath1152.91729OpenAlexW2012163884MaRDI QIDQ5393900

Yongmiao Hong, Halbert White

Publication date: 24 October 2006

Published in: Econometrica (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1468-0262.2005.00597.x

zbMATH Keywords

entropyinvariancerandom walknonlinear time seriessmoothed bootstrapserial dependencedensity forecastsjackknife kernel

Mathematics Subject Classification ID

Density estimation (62G07) Asymptotic distribution theory in statistics (62E20) Asymptotic properties of nonparametric inference (62G20) Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric statistical resampling methods (62G09) Economic time series analysis (91B84) Non-Markovian processes: hypothesis testing (62M07)

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