Nonparametric entropy-based tests of independence between stochastic processes


Autoria(s): Fernandes, Marcelo
Data(s)

13/05/2008

23/09/2010

13/05/2008

23/09/2010

01/03/2001

Resumo

This paper develops nonparametric tests of independence between two stationary stochastic processes. The testing strategy boils down to gauging the closeness between the joint and the product of the marginal stationary densities. For that purpose, I take advantage of a generalized entropic measure so as to build a class of nonparametric tests of independence. Asymptotic normality and local power are derived using the functional delta method for kernels, whereas finite sample properties are investigated through Monte Carlo simulations.

Identificador

0104-8910

http://hdl.handle.net/10438/957

Idioma(s)

en_US

Publicador

Escola de Pós-Graduação em Economia da FGV

Relação

Ensaios Econômicos;413

Palavras-Chave #Independence #Nonparametric testing #Tsallis entropy #Economia #Processo estocastico
Tipo

Working Paper