ASYMPTOTIC DISTRIBUTION THEORY FOR NONPARAMETRIC ENTROPY MEASURES OF SERIAL DEPENDENCE

By Yongmiao Hong, Halbert White. 2005

150 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Environmental Engineering, Statistics and Probability

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Citations in the corpus

A Kernel Independence Test for Random Processes (2014, background): “…criteria based on integrated squared distance between densities e.g (Rosenblatt & Wahlen, 1992); KL-divergence based criteria e.g. (Robinson, 1991; Hong & White, 2005); and generalizations of KL-divergence to so called q-class entropies 1We distinguish our case from the problem of ensuring time…”
A NONPARAMETRIC HELLINGER METRIC TEST FOR CONDITIONAL INDEPENDENCE (2008, methodology): “The former is important as it implies that the usual √ n-asymptotics (e.g., Robinson, 1991) do not apply; different normalizations must be used (e.g., White and Hong, 1999, Hong and White, 2005 ).”
Characterizations of joint distributions, copulas, information, dependence and decoupling, with applications to time series (2006, background): “, Robinson [66], Granger and Lin [29] and Hong and White [31]) considered problems of estimating entropy measures of serial dependence in time”
Nonparametric Specification Testing for Continuous-Time Models with Applications to Term Structure of Interest Rates (2005, unknown): “This approach has also been used in Hong and White (2005) to derive the limit distribution of nonparametric entropy measures of serial dependence.”
A Consistent Characteristic-Function-Based Test for Conditional Independence (2003, background): “sum of 10 uniformly independently distributed random variables each over the range [-1/7, 1/7] in DGP 7. DGPs 1 through 3 are studied in Hong and White (2005) in testing for serial independence.”
Comparing Density Forecasts via Weighted Likelihood Ratio Tests (2007, unknown): “j=1 p( js = j;Fm; 1; ) Pr(s = jjFm; 1; ) (16)”
Testing Conditional Independence via Rosenblatt Transforms (2009, background): “To name but a few, see Hoeffding (1948), Blum, Kiefer and Rosenblatt (1961), Skaug and Tjøstheim (1993), Robinson (1991), Delgado and Mora (2000) and Hong and White (2005).”
Model-free model-fitting and predictive distributions (2010, methodology): “There are many choices for the (pseudo)distance d; see Hong and White (2005) and the references therein.”
A non-parametric spatial independence test using symbolic entropy (2010, methodology): “In general, the measures associated with entropy, applied in a context of time series, have gained importance in recent years (see Joe, 1989a and b, Hong and White, 2005, and references therein) although, as far as we know, this is the first time that the approach has been used in a context of…”
A nonparametric test for equality of distributions with mixed categorical and continuous data (2009, background): “paper see Robinson (1991), as well as Hong & White (2000) , Ahmad & Li (1997), and Racine”
A Non-Parametric Independence Test Using Permutation Entropy (2008, background): “Robinson (1991), Skaug and Tjøstheim (1996), and recently Hong and White (2005) have provided an asymptotic distribution theory for certain entropy measures, and as a result they have obtained some test for independence.”
A versatile and robust metric entropy test of time-reversibility, and other hypotheses (2007, background): “Hong & White (forthcoming) , Granger, Maasoumi & Racine (2004), and Skaug & Tjostheim (1993), among others.”
A Dependence Metric for Possibly Nonlinear Processes (2004, methodology): “rates, Pagan & Schwert (1990), Hong & White (2000) , Chen & Kuan (2002), and Maasoumi &”
Nonparametric Tests for Serial Independence Based on Quadratic Forms (2005, unknown): “We express our gratitude to prof. Esfandiar Maasoumi and prof. Jeffrey Racine for kindly providing R code of their implementation of the GMR test.”