Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods
The information-theoretical concept transfer entropy is an ideal measure for detecting conditional independence, or Granger causality in a time series setting. The recent literature indeed witnesses an increased interest in applications of entropy-based tests in this direction. However, those tests...
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| Format: | Article |
| Language: | English |
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MDPI AG
2017-07-01
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| Series: | Entropy |
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| Online Access: | https://www.mdpi.com/1099-4300/19/7/372 |
| _version_ | 1798005965591674880 |
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| author | Cees Diks Hao Fang |
| author_facet | Cees Diks Hao Fang |
| author_sort | Cees Diks |
| collection | DOAJ |
| description | The information-theoretical concept transfer entropy is an ideal measure for detecting conditional independence, or Granger causality in a time series setting. The recent literature indeed witnesses an increased interest in applications of entropy-based tests in this direction. However, those tests are typically based on nonparametric entropy estimates for which the development of formal asymptotic theory turns out to be challenging. In this paper, we provide numerical comparisons for simulation-based tests to gain some insights into the statistical behavior of nonparametric transfer entropy-based tests. In particular, surrogate algorithms and smoothed bootstrap procedures are described and compared. We conclude this paper with a financial application to the detection of spillover effects in the global equity market. |
| first_indexed | 2024-04-11T12:48:28Z |
| format | Article |
| id | doaj.art-52cba767e6794412acf9836703b0568f |
| institution | Directory Open Access Journal |
| issn | 1099-4300 |
| language | English |
| last_indexed | 2024-04-11T12:48:28Z |
| publishDate | 2017-07-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Entropy |
| spelling | doaj.art-52cba767e6794412acf9836703b0568f2022-12-22T04:23:17ZengMDPI AGEntropy1099-43002017-07-0119737210.3390/e19070372e19070372Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling MethodsCees Diks0Hao Fang1CeNDEF, Amsterdam School of Economics, University of Amsterdam, 1018 WB Amsterdam, The NetherlandsCeNDEF, Amsterdam School of Economics, University of Amsterdam, 1018 WB Amsterdam, The NetherlandsThe information-theoretical concept transfer entropy is an ideal measure for detecting conditional independence, or Granger causality in a time series setting. The recent literature indeed witnesses an increased interest in applications of entropy-based tests in this direction. However, those tests are typically based on nonparametric entropy estimates for which the development of formal asymptotic theory turns out to be challenging. In this paper, we provide numerical comparisons for simulation-based tests to gain some insights into the statistical behavior of nonparametric transfer entropy-based tests. In particular, surrogate algorithms and smoothed bootstrap procedures are described and compared. We conclude this paper with a financial application to the detection of spillover effects in the global equity market.https://www.mdpi.com/1099-4300/19/7/372transfer entropyGranger causalitynonparametric testbootstrapsurrogate data |
| spellingShingle | Cees Diks Hao Fang Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods Entropy transfer entropy Granger causality nonparametric test bootstrap surrogate data |
| title | Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods |
| title_full | Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods |
| title_fullStr | Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods |
| title_full_unstemmed | Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods |
| title_short | Transfer Entropy for Nonparametric Granger Causality Detection: An Evaluation of Different Resampling Methods |
| title_sort | transfer entropy for nonparametric granger causality detection an evaluation of different resampling methods |
| topic | transfer entropy Granger causality nonparametric test bootstrap surrogate data |
| url | https://www.mdpi.com/1099-4300/19/7/372 |
| work_keys_str_mv | AT ceesdiks transferentropyfornonparametricgrangercausalitydetectionanevaluationofdifferentresamplingmethods AT haofang transferentropyfornonparametricgrangercausalitydetectionanevaluationofdifferentresamplingmethods |