KMS Of Academy of mathematics and systems sciences, CAS
An efficient integrated nonparametric entropy estimator of serial dependence | |
Hong, Yongmiao1,2,3; Wang, Xia4; Zhang, Wenjie5; Wang, Shouyang6,7 | |
2017 | |
发表期刊 | ECONOMETRIC REVIEWS |
ISSN | 0747-4938 |
卷号 | 36期号:6-9页码:728-780 |
摘要 | We propose an efficient numerical integration-based nonparametric entropy estimator for serial dependence and show that the new entropy estimator has a smaller asymptotic variance than Hong and White's (2005) sample average-based estimator. This delivers an asymptotically more efficient test for serial dependence. In particular, the uniform kernel gives the smallest asymptotic variance for the numerical integration-based entropy estimator over a class of positive kernel functions. Moreover, the naive bootstrap can be used to obtain accurate inferences for our test, whereas it is not applicable to Hong and White's (2005) sample averaging approach. A simulation study confirms the merits of our approach. |
关键词 | Entropy naive bootstrap nonlinear time series numerical Integration sample averaging serial dependence smoothed bootstrap |
DOI | 10.1080/07474938.2017.1307564 |
语种 | 英语 |
资助项目 | National Science Foundation of China[71401160] ; National Science Foundation of China[71371160] ; Ministry of Education of Humanities and Social Sciences Project of China[14YJC790120] ; Fujian Provincial Key Laboratory of Statistics (Xiamen University)[2016003] |
WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
WOS类目 | Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods ; Statistics & Probability |
WOS记录号 | WOS:000406534900011 |
出版者 | TAYLOR & FRANCIS INC |
引用统计 | |
文献类型 | 期刊论文 |
条目标识符 | http://ir.amss.ac.cn/handle/2S8OKBNM/26249 |
专题 | 系统科学研究所 |
通讯作者 | Wang, Xia |
作者单位 | 1.Cornell Univ, Dept Econ, Ithaca, NY 14853 USA 2.Cornell Univ, Dept Stat Sci, Ithaca, NY USA 3.Xiamen Univ, Wang Yanan Inst Studies Econ WISE, Xiamen, Fujian, Peoples R China 4.Sun Yat Sen Univ, Lingnan Coll, Guangzhou 510275, Guangdong, Peoples R China 5.Cornell Univ, Ctr Appl Math, Ithaca, NY 14853 USA 6.Univ Chinese Acad Sci, Sch Econ & Management, Beijing, Peoples R China 7.Chinese Acad Sci, Acad Math & Syst Sci, Beijing, Peoples R China |
推荐引用方式 GB/T 7714 | Hong, Yongmiao,Wang, Xia,Zhang, Wenjie,et al. An efficient integrated nonparametric entropy estimator of serial dependence[J]. ECONOMETRIC REVIEWS,2017,36(6-9):728-780. |
APA | Hong, Yongmiao,Wang, Xia,Zhang, Wenjie,&Wang, Shouyang.(2017).An efficient integrated nonparametric entropy estimator of serial dependence.ECONOMETRIC REVIEWS,36(6-9),728-780. |
MLA | Hong, Yongmiao,et al."An efficient integrated nonparametric entropy estimator of serial dependence".ECONOMETRIC REVIEWS 36.6-9(2017):728-780. |
条目包含的文件 | 条目无相关文件。 |
除非特别说明,本系统中所有内容都受版权保护,并保留所有权利。
修改评论