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...

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Detalles Bibliográficos
Autores principales: García-Medina, Andrés, González Farías, Graciela
Formato: Online Artículo Texto
Lenguaje:English
Publicado: Public Library of Science 2020
Materias:
Research Article
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

Internet

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

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