Entropy-based independence test

Dionísio, A., R. Menezes, D.A. Mendes (2006), "Entropy-based independence test", Nonlinear Dynamics, 44(1/4), 351-357.
Abstract:

This paper presents a new test of independence (linear and non-linear) among distributions based on the entropy of Shannon. The main advantages of the presented approach are the fact that this measure does not need to assume any type of theoretical probability distribution and has the ability to capture the linear and non-linear dependencies, without requiring the specification of any kind of dependence model

Keywords: entropy - independence test - mutual information - non-linear serial dependence - stock index markets