An efficient integrated nonparametric entropy estimator of serial dependence

doi:10.1080/07474938.2017.1307564

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	An efficient integrated nonparametric entropy estimator of serial dependence
	Hong, Yongmiao 1,2,3; Wang, Xia 4; Zhang, Wenjie 5; Wang, Shouyang6,7
刊名	ECONOMETRIC REVIEWS
	2017
卷号	36 期号:6-9 页码:728-780
关键词	Entropy naive bootstrap nonlinear time series numerical Integration sample averaging serial dependence smoothed bootstrap
ISSN号	0747-4938
DOI	10.1080/07474938.2017.1307564
英文摘要	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.
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
语种	英语
出版者	TAYLOR & FRANCIS INC
WOS记录号	WOS:000406534900011
内容类型	期刊论文
源URL	[http://ir.amss.ac.cn/handle/2S8OKBNM/26248]
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.