A Dependence Metric for Possibly Nonlinear Processes
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Publication:4677035
DOI10.1111/j.1467-9892.2004.01866.xzbMath1062.62178OpenAlexW3122566258MaRDI QIDQ4677035
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Publication date: 20 May 2005
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2004.01866.x
Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)
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Uses Software
Cites Work
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- An introduction to copulas. Properties and applications
- A simple nonlinear time series model with misleading linear properties
- Testing independence by nonparametric kernel method
- Nonparametric estimation of distributions with categorical and continuous data
- Entropy and predictability of stock market returns.
- Testing for Pairwise Serial Independence Via the Empirical Distribution Function
- A Dependence Metric for Possibly Nonlinear Processes
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