Information quantity evaluation of multivariate SETAR processes of order one and applications

DOI10.1007/S00362-023-01457-6MaRDI QIDQ6579388zbMATH OpenFDO

Authors Javier E. Contreras-Reyes

Publication date 25 July 2024

Published in Statistical Papers (Search for Journal in Brave)

zbMATH Keywords

Kullback-Leibler divergencedifferential entropyunified skew-normal distributionstationary marginal distributionMSETAR processes

Mathematics Subject Classification ID

Statistics (62-XX)

Cites work

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Cited in

(2)

• Jensen-detrended cross-correlation function for non-stationary time series with application to Latin American stock markets
• Jensen-variance distance measure: a unified framework for statistical and information measures

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