TY - JOUR 
A1 - Matilla García, Mariano
AU - Ruiz Marín, Manuel
T1 - A non-parametric independence test using permutation entropy
Y1 - 2008
SN - 0304-4076
UR - http://hdl.handle.net/10317/936
AB - In the present paper we construct a new, simple and powerful test for independence by
using symbolic dynamics and permutation entropy as a measure of serial dependence.
We also give the asymptotic distribution of an affine transformation of the permutation
entropy under the null hypothesis of independence. An application to several daily
financial time series illustrates our approach.
KW - Economía Aplicada
KW - Entropía
KW - Independencia
KW - I.i.d
KW - Invariación
KW - Serie temporal no lineal
KW - Dinámica simbólica
KW - Camino aleatorio (Random Walk)
KW - Entropy
KW - Independence
KW - Invariance
KW - Nonlinear time serie
KW - Symbolic dynamic
LA - eng
PB - Elsevier
ER -