Please use this identifier to cite or link to this item:
http://hdl.handle.net/10174/1817
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| Title: | Entropy-Based Independence Test |
| Authors: | Dionísio, Andreia
Menezes, Rui
Mendes, Diana |
| Keywords: | entropy, independence test, mutual information, non-linear serial dependence, stock index markets |
| Issue Date: | 2006 |
| Publisher: | Springer |
| Abstract: | 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. |
| URI: | http://hdl.handle.net/10174/1817 |
| Type: | article |
| Appears in Collections: | CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica
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CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica /
