A symbolic test for testing independence between time series

Mariano Matilla‐García, José Miguel Rodríguez and Manuel Ruiz Marin
Authors registered in the RePEc Author Service: Mariano Matilla-García

Journal of Time Series Analysis, 2010, vol. 31, issue 2, 76-85

Abstract: In this article we introduce a test for independence between two processes {Xt} and {Yt}. 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.

Date: 2010
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Citations: View citations in EconPapers (5)

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https://doi.org/10.1111/j.1467-9892.2009.00645.x

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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:31:y:2010:i:2:p:76-85

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