Journal
PHYSICA D-NONLINEAR PHENOMENA
Volume 240, Issue 14-15, Pages 1199-1204Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physd.2011.04.010
Keywords
Time series; Independence; Product formula; Permutations; Entropy
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Funding
- MCI (Ministerio de Ciencia e Innovacion) [MTM2008-03679/MTM]
- FEDER (Fondo Europeo de Desarrollo Regional) [MTM2008-03679/MTM]
- Fundacion Seneca, CARM [08667/PI/08, 08627/PI/08]
- Ministerio de Ciencia e Innovacion [ENE2010-20495-C02-02]
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In this paper, we propose an independence test between two time series which is based on permutations. The proposed test can be carried out by means of different common statistics such as Pearson's chi-square or the likelihood ratio. We also point out why an exact test is necessary. Simulated and real data (return exchange rates between several currencies) reveal the capacity of this test to detect linear and nonlinear dependences. (C) 2011 Elsevier B.V. All rights reserved.
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