Variance of entropy for testing time-varying regimes with an application to meme stocks
Andrey Shternshis,
Piero Mazzarisi
Abstract:Shannon entropy is the most common metric for assessing the degree of randomness of time series in many fields, ranging from physics and finance to medicine and biology. Real-world systems are typically non-stationary, leading to entropy values fluctuating over time. This paper proposes a hypothesis testing procedure to test the null hypothesis of constant Shannon entropy in time series data. The alternative hypothesis is a significant variation in entropy between successive periods. To this end, we derive an … Show more
Set email alert for when this publication receives citations?
scite is a Brooklyn-based organization that helps researchers better discover and understand research articles through Smart Citations–citations that display the context of the citation and describe whether the article provides supporting or contrasting evidence. scite is used by students and researchers from around the world and is funded in part by the National Science Foundation and the National Institute on Drug Abuse of the National Institutes of Health.