[en] The Theil index is much used in economy and finance; it looks like the Shannon entropy, but pertains to event values rather than to their probabilities. Any time series can be remapped through the Theil index. Correlation coefficients can be evaluated between the new time series, thereby allowing to study their mutual statistical distance - to be contrasted to the usual correlation distance measure for the primary time series. As an example this entropy-like correlation distance method (ECDM) is applied to the Gross Domestic Product of 20 rich countries in order to test some economy globalization process. Hierarchical distances allow to construct (i) a linear network, (ii) a Locally Minimal Spanning Tree. The role of time averaging in finite size windows is illustrated and discussed. It is also shown that the mean distance between the most developed countries, was decreasing since 1960 till 2000, which we consider to be a proof of globalization of the economy for these countries.
Disciplines :
International economics Physics
Author, co-author :
Ausloos, Marcel ; Université de Liège - ULiège > Département de physique > Département de physique
Miskiewicz, J.
Language :
English
Title :
ENTROPY CORRELATION DISTANCE METHOD APPLIED TO STUDY CORRELATIONS BETWEEN THE GROSS DOMESTIC PRODUCT OF RICH COUNTRIES
Publication date :
2010
Journal title :
International Journal of Bifurcation and Chaos in Applied Sciences and Engineering
ISSN :
0218-1274
Publisher :
World Scientific Publishing Company, Singapore, Singapore
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