期刊
PHYSICA D-NONLINEAR PHENOMENA
卷 240, 期 14-15, 页码 1199-1204出版社
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physd.2011.04.010
关键词
Time series; Independence; Product formula; Permutations; Entropy
资金
- 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]
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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