A non-parametric test for independence based on symbolic dynamics

Matilla-García, Mariano

doi:10.1016/j.jedc.2007.01.018

Cited by 34 publications

(24 citation statements)

References 26 publications

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“…Li et al () interpreted these findings as identifying a decrease in complexity due to the synchronization of neural activity. Matilla‐García () and Matilla‐García and Marín () developed a non‐parametric independence test based on PE. For example, Matilla‐García and Marín () showed that the powers of the test in the case of AR processes are higher than 85% with a 10% significance level and T = 600.…”

Section: Literature Reviewmentioning

confidence: 99%

Permutation entropies of short‐term interest rates as an early‐warning signal

Lee

Park

2019

International Finance

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This paper proposes a new method for detecting abnormal movements of short‐term interest rates by using permutation entropy (PE) as a complementary early‐warning signal. Empirical results have shown that the PEs of the US T‐Bill rates plunged below the thresholds of normal movements before the ﬁnancial crisis of 2007–2009, and the PE of 3‐month Euribor similarly dropped before the European sovereign debt crisis of 2010. Additionally, it was found that the PEs of spreads of both domestic interest rates and Libors dropped against the US T‐Bill rates below the thresholds in 2005. This evidence could serve as useful information for policymakers in crisis periods.

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Section: Literature Reviewmentioning

confidence: 99%

Permutation entropies of short‐term interest rates as an early‐warning signal

Lee

Park

2019

International Finance

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“…In this paper, the embedding dimension m can be chosen as four. Moreover, the time series length N should satisfy the condition

N ⩾ 5 m!

[40]. Therefore, N is set to 2400, which is the data length of a sample.…”

Section: Experimental Verificationmentioning

confidence: 99%

A Hybrid Generalized Hidden Markov Model-Based Condition Monitoring Approach for Rolling Bearings

Liu

et al. 2017

Sensors

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The operating condition of rolling bearings affects productivity and quality in the rotating machine process. Developing an effective rolling bearing condition monitoring approach is critical to accurately identify the operating condition. In this paper, a hybrid generalized hidden Markov model-based condition monitoring approach for rolling bearings is proposed, where interval valued features are used to efficiently recognize and classify machine states in the machine process. In the proposed method, vibration signals are decomposed into multiple modes with variational mode decomposition (VMD). Parameters of the VMD, in the form of generalized intervals, provide a concise representation for aleatory and epistemic uncertainty and improve the robustness of identification. The multi-scale permutation entropy method is applied to extract state features from the decomposed signals in different operating conditions. Traditional principal component analysis is adopted to reduce feature size and computational cost. With the extracted features’ information, the generalized hidden Markov model, based on generalized interval probability, is used to recognize and classify the fault types and fault severity levels. Finally, the experiment results show that the proposed method is effective at recognizing and classifying the fault types and fault severity levels of rolling bearings. This monitoring method is also efficient enough to quantify the two uncertainty components.

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“…A primeira etapa da implementação consiste em analisar as características dos retornos dos índices selecionados e se atendem à premissa de normalidade multivariada. A partir dos resultados expostos na Tabela 2, podemos verificar que nenhum dos índices individualmente rejeita hipótese nula de normalidade dos retornos, bem como não há rejeição da hipótese nula de iid no teste de Matilla-Garcia (2007). Em resultado não reportado, foi feito o teste de Kolmogorov-Smirnov não rejeitando a normalidade dos retornos para o período analisado.…”

Section: Acrescentando Outros Países Da América Latina à Carteira Braunclassified

“…A hipótese da normalidade multivariada, necessária aos testes, pode ser verificada com o teste proposto por Doornik e Hansen (1994) (Equação 12). Para verificar se os retornos são independentes e identicamente distribuídos (iid), será empregado o teste não paramétrico de Matilla-Garcia (2007). O teste consiste em determinar os ordenamentos em padrões na série a partir do parâmetro m (embedding dimension), de tal forma que são possíveis fatorial(m) padrões.…”

Section: Acrescentando Outros Países Da América Latina à Carteira Braunclassified

A inclusão de ações da América Latina sob o ponto de vista do investidor brasileiro: inferências sobre os pesos na fronteira eficiente

oliveira

Silva²

2009

Gest. Prod.

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Allocating resources efficiently has been one of the major issues in Finance. If domestic factors are the key reasons for local assets to move together, the investor should search for other markets in order to diversify the local risk. This topic has been analyzed considering the risk-return tradeoff. However, one of the main problems is not taking the uncertainty input parameters into account triggering estimation risk concerns. This article analyzes whether the inclusion of stocks from other Latin American countries improve the efficient frontier from a Brazilian investor's point of view. The combination of inferences about tangency portfolio (BRITTEN-JONES, 1999) and global minimum risk portfolio (KEMPF e MEMMEL, 2006) was implemented. From the results, it can be concluded that the inclusion of other Latin American stocks would improve the efficient frontier for local investors with statistically significant portfolio weights.

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A non-parametric test for independence based on symbolic dynamics

Cited by 34 publications

References 26 publications

Permutation entropies of short‐term interest rates as an early‐warning signal

Permutation entropies of short‐term interest rates as an early‐warning signal

A Hybrid Generalized Hidden Markov Model-Based Condition Monitoring Approach for Rolling Bearings

A inclusão de ações da América Latina sob o ponto de vista do investidor brasileiro: inferências sobre os pesos na fronteira eficiente

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