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Transfer entropy as a variable selection methodology of cryptocurrencies in the framework of a high dimensional predictive model
We determine the number of statistically significant factors in a high dimensional predictive model of cryptocurrencies using a random matrix test. The applied predictive model is of the reduced rank regression (RRR) type; in particular, we choose a flavor that can be regarded as canonical correlati...
Autores principales: | , |
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Formato: | Online Artículo Texto |
Lenguaje: | English |
Publicado: |
Public Library of Science
2020
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Materias: | |
Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC6939941/ https://www.ncbi.nlm.nih.gov/pubmed/31895923 http://dx.doi.org/10.1371/journal.pone.0227269 |