A non-parametric independence test using permutation entropy
Knowledge Area
Economía AplicadaPublication date
2008-05Publisher
ElsevierBibliographic Citation
MATILLA GARCÍA, Mariano, RUIZ MARÍN, Manuel. A non-parametric independence test using permutation entropy. Journal of Econometrics, 144 (1): 139-155. Mayo 2008. ISSN 0304-4076Keywords
EntropíaIndependencia
I.i.d
Invariación
Serie temporal no lineal
Dinámica simbólica
Camino aleatorio (Random Walk)
Entropy
Independence
Invariance
Nonlinear time serie
Symbolic dynamic
Abstract
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.
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