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A non-parametric independence test using permutation entropy
dc.contributor.author | Matilla García, Mariano | |
dc.contributor.author | Ruiz Marín, Manuel | |
dc.date.accessioned | 2009-05-07T10:21:36Z | |
dc.date.available | 2009-05-07T10:21:36Z | |
dc.date.issued | 2008-05 | |
dc.identifier.citation | MATILLA GARCÍA, Mariano, RUIZ MARÍN, Manuel. A non-parametric independence test using permutation entropy. Journal of Econometrics, 144 (1): 139-155. Mayo 2008. ISSN 0304-4076 | es |
dc.identifier.issn | 0304-4076 | |
dc.description.abstract | In the present paper we construct a new, simple and powerful test for independence by using symbolic dynamics and permutation entropy as a measure of serial dependence. We also give the asymptotic distribution of an affine transformation of the permutation entropy under the null hypothesis of independence. An application to several daily financial time series illustrates our approach. | es |
dc.format | application/pdf | |
dc.language.iso | eng | es |
dc.publisher | Elsevier | es |
dc.rights | http://www.elsevier.com/wps/find/journaldescription.cws_home/505575/description#description | es |
dc.title | A non-parametric independence test using permutation entropy | es |
dc.type | info:eu-repo/semantics/article | es |
dc.subject.other | Economía Aplicada | es |
dc.subject | Entropía | es |
dc.subject | Independencia | es |
dc.subject | I.i.d | es |
dc.subject | Invariación | es |
dc.subject | Serie temporal no lineal | es |
dc.subject | Dinámica simbólica | es |
dc.subject | Camino aleatorio (Random Walk) | es |
dc.subject | Entropy | |
dc.subject | Independence | |
dc.subject | Invariance | |
dc.subject | Nonlinear time serie | |
dc.subject | Symbolic dynamic | |
dc.identifier.uri | http://hdl.handle.net/10317/936 | |
dc.identifier.doi | 10.10167j.jeconom.2007.12.005 |
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