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A symbolic test for testing independence between time series
Author(s) -
MatillaGarcía Mariano,
Rodríguez José Miguel,
Marín Manuel Ruiz
Publication year - 2010
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1111/j.1467-9892.2009.00645.x
Subject(s) - mathematics , nonparametric statistics , independence (probability theory) , series (stratigraphy) , econometrics , test (biology) , entropy (arrow of time) , permutation (music) , range (aeronautics) , symbolic dynamics , statistics , pure mathematics , paleontology , biology , physics , materials science , quantum mechanics , acoustics , composite material
In this article we introduce a test for independence between two processes { X t } and { Y t }. To this end we rely on symbolic dynamics and permutation entropy as a measure of dependence. As a result, a nonparametric (model‐free) test for either linear or nonlinear processes is presented. The test is consistent for a broad range of dependent alternatives. Empirical simulations indicate and highlight the general utility of the test for time‐series analysts.