A Dependence Metric for Possibly Nonlinear Processes

By Clive W. J. Granger, Esfandiar Maasoumi, Jeffrey S. Racine. 2004

249 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Statistical and Nonlinear Physics

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Arthur Gretton
2. Kacper P. Chwialkowski
3. Le Wang
4. Esfandiar Maasoumi
5. Georgios Fotopoulos
6. Anatoly A. Zhigljavsky
7. Saeed Heravi
8. Jeffrey S. Racine

In Finance

1. Arthur Gretton
2. Kacper P. Chwialkowski
3. Georgios Fotopoulos
4. Esfandiar Maasoumi
5. Le Wang
6. Valentyn Panchenko
7. Jeffrey S. Racine
8. Hossein Hassani

In Statistical and Nonlinear Physics

1. Georgios Fotopoulos
2. Arthur Gretton
3. Le Wang
4. Kacper P. Chwialkowski
5. Esfandiar Maasoumi
6. Valentyn Panchenko
7. Jeffrey S. Racine
8. Mariano Matilla-García

Citations in the corpus

• A Kernel Independence Test for Random Processes (2014, methodology): “…of KL-divergence to so called q-class entropies 1We distinguish our case from the problem of ensuring time series are independent simultaneously across all time lags, e.g the null will hold even if Xt = Yt−1 where Yt is white noise. e.g. (Granger et al., 2004; Racine & Maasoumi, 2007).”
• Nonparametric Tests for Serial Independence Based on Quadratic Forms (2005, unknown): “The above DGPs or slight modifications of these were previously considered by Granger, Maasoumi, and Racine (2004), Granger and Lin (1994), Hong and White (2005), Brock, Dechert, Scheinkman, and LeBaron (1996) and others.”
• Multivariate singular spectrum analysis for forecasting revisions to real-time data (2011, background): “also [21,35]), referred to as the global correlation coefficient, defined as”
• More accurate, calibrated bootstrap confidence intervals for estimating the correlation between two time series (2014, unknown): “Granger et al. (2004) consider nonlinear correlation measures.”
• A Non-Parametric Independence Test Using Permutation Entropy (2008, background): “Granger et al. (2004) introduced a transformed metric entropy of dependence.”
• On the spatial stickiness of UK new firm formation rates (2014, methodology): “A procedure proposed by Granger et al. (2004) was used in order to test the null”
• Goodness-of-fit test for copulas (2005, background): “It does not require the usage of plug-in estimators that is now a common practice in the field [ 8 ] and separates the problem of inference from consistent estimation of multivariate densities.”
• A versatile and robust metric entropy test of time-reversibility, and other hypotheses (2007, methodology): “They may form the basis for measures of nonlinear dependence, as in Granger et al. (2004), but as we shall demonstrate can also be used to assess goodness-of-fit in nonlinear models or form the basis of tests for symmetry or time-reversibility.”
• The Gender Gap between Earnings Distributions (2019, methodology): “Following Granger, Maasoumi, and Racine (2004) and Maasoumi and Racine (2002), we consider a nonparametric kernel–based implementation of eq.”