An entropy-based measure of correlation for time series

DOI10.1016/J.INS.2023.119272MaRDI QIDQ6490368

Giuseppe Pernagallo

Publication date: 23 April 2024

Published in: Information Sciences (Search for Journal in Brave)

zbMATH Keywords

correlationtime seriesinformation theorystatisticseconometricsmacroeconometrics

Mathematics Subject Classification ID

Statistics (62-XX) Information and communication theory, circuits (94-XX)

Cites Work

• A Mathematical Theory of Communication
• A non-parametric independence test using permutation entropy
• Long-run wavelet-based correlation for financial time series
• A two-dimensional mapping with a strange attractor
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• Entropy-based independence test
• Convergence properties of functional estimates for discrete distributions
• Entropy testing for nonlinear serial dependence in time series
• Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes
• Kendall's tau for serial dependence
• Confidence Intervals for Gini's Diversity Measure and Shannon's Entropy Using Adjusted Proportions
• Estimation of Entropy and Mutual Information
• Consistent Nonparametric Entropy-Based Testing

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