An entropy-based measure of correlation for time series

DOI10.1016/J.INS.2023.119272MaRDI QIDQ6490368zbMATH OpenFDO

Authors Giuseppe Pernagallo

Publication date 23 April 2024

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.INS.2023.119272

zbMATH Keywords

correlationeconometricsinformation theorymacroeconometricsstatisticstime series

Mathematics Subject Classification ID

Statistics (62-XX) Information and communication theory, circuits (94-XX)

Cites work

• A Mathematical Theory of Communication
• A new correlation coefficient for bivariate time-series data
• A non-parametric independence test using permutation entropy
• A two-dimensional mapping with a strange attractor
• Confidence intervals and hypothesis testing for the permutation entropy with an application to epilepsy
• Confidence Intervals for Gini's Diversity Measure and Shannon's Entropy Using Adjusted Proportions
• Consistent Nonparametric Entropy-Based Testing
• Convergence properties of functional estimates for discrete distributions
• Entropy testing for nonlinear serial dependence in time series
• Entropy-based independence test
• Estimation of Entropy and Mutual Information
• Kendall's tau for serial dependence
• Long-run wavelet-based correlation for financial time series
• Nonparametric entropy-based tests of independence between stochastic processes

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