A non-parametric independence test using permutation entropy
نویسندگان
چکیده
منابع مشابه
A Non-Parametric Independence Test Using Permutation Entropy
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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ژورنال
عنوان ژورنال: Journal of Econometrics
سال: 2008
ISSN: 0304-4076
DOI: 10.1016/j.jeconom.2007.12.005