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http://hdl.handle.net/10071/15799
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Title: Entropy-based independence test
Authors: Dionísio, A.
Menezes, R.
Mendes, D.A.
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.
Description: WOS:000238021700039 (Nº de Acesso Web of Science)
Peer reviewed: yes
URI: https://ciencia.iscte-iul.pt/id/ci-pub-14590
http://hdl.handle.net/10071/15799
DOI: 10.1007/s11071-006-2019-0
ISSN: 0924-090X
Appears in Collections:BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica

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