Nonparametric entropy-based tests of independence between stochastic processes

Marcelo Fernandes

No 413, FGV EPGE Economics Working Papers (Ensaios Economicos da EPGE) from EPGE Brazilian School of Economics and Finance - FGV EPGE (Brazil)

Abstract: 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.

Date: 2001-03-01
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Related works:
Journal Article: Nonparametric Entropy-Based Tests of Independence Between Stochastic Processes (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:fgv:epgewp:413

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