Browsing FGV EPGE - Ensaios Econômicos by Title "Nonparametric entropy-based tests of independence between stochastic processes"

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Nonparametric entropy-based tests of independence between stochastic processes

Fernandes, Marcelo
2001-03-01

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 ...