Please use this identifier to cite or link to this item:

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.
Type: article
Appears in Collections:CEFAGE - Publicações - Artigos em Revistas Internacionais Com Arbitragem Científica

Files in This Item:

File Description SizeFormat
nonlinear dynamics-2006.pdf27.78 kBAdobe PDFView/Open
FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpaceOrkut
Formato BibTex mendeley Endnote Logotipo do DeGóis 

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.


Dspace Dspace
DSpace Software, version 1.6.2 Copyright © 2002-2008 MIT and Hewlett-Packard - Feedback
UEvora B-On Curriculum DeGois