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Granger-causal nonlinear financial networks

Fiedor, Paweł - In: The journal of network theory in finance 1 (2015) 2, pp. 53-82

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Statistical problem classes and their links to information theory

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A family of maximum entropy densities matching call option prices

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An entropy-based approach for nonparametrically testing simple probability distribution hypotheses

Mittelhammer, Ron C.; Judge, George G.; Henry, Miguel - In: Econometrics : open access journal 10 (2022) 1, pp. 1-19

In this paper, we introduce a flexible and widely applicable nonparametric entropy-based testing procedure that can be used to assess the validity of simple hypotheses about a specific parametric population distribution. The testing methodology relies on the characteristic function of the...

Persistent link: https://www.econbiz.de/10012805047