Please use this identifier to cite or link to this item:
http://hdl.handle.net/10071/15799| Author(s): | Dionísio, A. Menezes, R. Mendes, D.A. |
| Date: | 2006 |
| Title: | Entropy-based independence test |
| Volume: | 44 |
| Number: | 1-4 |
| Pages: | 351-357 |
| ISSN: | 0924-090X |
| DOI (Digital Object Identifier): | 10.1007/s11071-006-2019-0 |
| Keywords: | Entropy Independence test Mutual information Non-linear serial dependence Stock index markets |
| 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. |
| Peerreviewed: | yes |
| Access type: | Open Access |
| Appears in Collections: | BRU-RI - Artigos em revistas científicas internacionais com arbitragem científica |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| Entropy-based independence test.pdf | Pós-print | 180,14 kB | Adobe PDF | View/Open |
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