Rank-based entropy tests for serial independence

DOI10.2202/1558-3708.1476MaRDI QIDQ3574710zbMATH OpenOpenAlexFDO

Authors

Publication date 2 July 2010

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL http://dare.uva.nl/personal/pure/en/publications/rankbased-entropy-tests-for-serial-independence(b4685c7d-5e5c-41b7-8cf0-f689cdd2b514).html

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Measures of association (correlation, canonical correlation, etc.) (62H20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(8)

• A non-parametric test for independence based on symbolic dynamics
• Rank statistics for serial dependence
• Nonparametric entropy-based tests of independence between stochastic processes
• Rank-Based Extensions of the Brock, Dechert, and Scheinkman Test
• Autocopulas: investigating the interdependence structure of stationary time series
• Testing serial independence via density-based measures of divergence
• Symbolic correlation integral
• An efficient integrated nonparametric entropy estimator of serial dependence

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