Physics NotePublished
Generalized Entropy-Based Criterion for Consistent Nonparametric Testing
C. Tsallis
1993
Publication details
- Authors
- C. Tsallis
- Type
- Physics Note
- Status
- Published
- Publication date
- 1993
- Description
- Through the use of a recently generalized entropy, we propose, along the lines of Robinson 1991, a consistent criterion for testing relevant econometric hypothesis such as independence of time series quantities. This criterion recovers that of Kullback-Leibler as a particular case, and yields a satisfactory alternative to the criterion proposed by Brock et al 1987.
- Year
- 1993
- Number
- CBPF-NF-017/93
- Linked to a thesis
- No
- Linked to a grant
- No