TY - JOUR 
A1 - Caballero Pintado, M Victoria
AU - Matilla García, Mariano
AU - Dona Rodríguez, José Miguel
AU - Ruiz Marín, Manuel
T1 - Two Tests for Dependence (of Unknown Form) between Time Series
Y1 - 2019
SN - 1099-4300
UR - http://hdl.handle.net/10317/9415
AB - This paper proposes two new nonparametric tests for independence between time series. Both tests are based on symbolic analysis, specifically on symbolic correlation integral, in order to be robust to potential unknown nonlinearities. The first test is developed for a scenario in which each considered time series is independent and therefore the interest is to ascertain if two internally independent time series share a relationship of an unknown form. This is especially relevant as the test is nuisance parameter free, as proved in the paper. The second proposed statistic tests for independence among variables, allowing these time series to exhibit within-dependence. Monte Carlo experiments are conducted to show the empirical properties of the tests.
KW - Estadística e Investigación Operativa
KW - Matemática Aplicada
KW - Dependence
KW - Permutation entropy
KW - Symbolic correlation integral
KW - 12 Matemáticas
KW - 1209 Estadística
LA - eng
PB - MDPI
ER -