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Publication Detailed Description
Journal Title
Nonlinear Dynamics
Year (definitive publication)
2006
Language
English
Country
Netherlands
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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.
Acknowledgements
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Keywords
Entropy,Independence test,Mutual information,Non-linear serial dependence,Stock index markets
Fields of Science and Technology Classification
- Mechanical Engineering - Engineering and Technology
