检验时间序列之间独立性的符号检验

A symbolic test for testing independence between time series

Journal of Time Series Analysis · 2010
被引 13
ABS 3

中文导读

提出一种基于符号动力学和排列熵的非参数检验,用于判断两个时间序列是否独立,适用于线性和非线性过程,对多种依赖关系具有一致性。

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.

时间序列分析非参数统计符号动力学计量经济学