A Dependence Metric for Possibly Nonlinear Processes

.  A transformed metric entropy measure of dependence is studied which satisfies many desirable properties, including being a proper measure of distance. It is capable of good performance in identifying dependence even in possibly nonlinear time series, and is applicable for both continuous and disc...

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Veröffentlicht in:	Journal of time series analysis 2004-09, Vol.25 (5), p.649-669
Hauptverfasser:	Granger, C. W., Maasoumi, E., Racine, J.
Format:	Artikel
Sprache:	eng
Schlagworte:	bootstrap Econometrics Entropy goodness of fit Information information theory Mathematical analysis Non-linear models nonlinear models nonparametric serial dependence Statistical methods Time series
Online-Zugang:	Volltext
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