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Entropy-based independence test

delete2006-06-01
delete49
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OA
AI
A
Andreia Dionísio *
R
Rui Menezes
D
Diana Mendes
DOI:10.1007/s11071-006-2019-0delete
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摘要

摘要

En 中文
This paper presents a new test of independence (linear and non-linear) among distributions based on the entropy of Shannon. The main advantages of the presented approach are the fact that this measure does not need to assume any type of theoretical probability distribution and has the ability to capture the linear and non-linear dependencies, without requiring the specification of any kind of dependence model.
Keyword:
entropy
independence test
mutual information
non-linear serial dependence
stock index markets

期刊

Nonlinear Dynamics 封面图
Nonlinear Dynamics
IF:
6
论文数:
1.4W
被引数:
4.1W

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