Publicación: Symbolic correlation integral
Fecha
2017-09-26
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Derechos de acceso
info:eu-repo/semantics/openAccess
Título de la revista
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Título del volumen
Editor
0747-4938; eISSN: 1532-4168
Resumen
This paper aims to introduce the concept of symbolic correlation integral SC that is extensively used in many scientific fields. The new correlation integral SC avoids the noisy parameter 𝜀 of the classical correlation integral, defined by Grassberger and Procaccia (Citation1983) and extensively used for constructing correlation-integral-based statistics, as in the BDS test. Once the free parameter 𝜀 disappears, it is possible to construct a nonparametric powerful test for independence that can also be used as a diagnostic tool for model selection. The symbolic correlation integral is also extended to deal with multivariate models, and a test for causality is proposed as an example of the theoretical power of the new concept. With extensive Monte Carlo simulations, the paper shows the good size and power performance of symbolic correlation-integral-based tests.
Descripción
Este es el manuscrito aceptado del artículo. La versión registrada fue publicada por primera vez en Econometric Reviews, 38(5), 533-556., está disponible en línea en el sitio web del editor: https://doi.org/10.1080/07474938.2017.1365431
This is the accepted manuscript of the article. The registered version was first published in Econometric Reviews, 38(5), 533-556., and is available online at the publisher's website: https://doi.org/10.1080/07474938.2017.1365431
Categorías UNESCO
Palabras clave
BDS statistic, causality tests, correlation integral, independence tests, symbolic dynamics
Citación
Caballero-Pintado, M. V., Matilla-García, M., & Marín, M. R. (2019). Symbolic correlation integral. Econometric Reviews, 38(5), 533-556. DOI: https://doi.org/10.1080/07474938.2017.1365431
Centro
Facultades y escuelas::Facultad de Ciencias Económicas y Empresariales
Departamento
Economía Aplicada y Estadística