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Independence Tests based on Symbolic Dynamics

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Abstract

New methods to test whether a time series is i.i.d. are proposed in a recent series of papers (Matilla-García [2007], Matilla-García and Marín [2008], Matilla-García and Marín [2009], and Matilla-García et al. [2010]). The main idea is to map m-histories of a time series onto elements of the symmetric group. The observed frequencies of the different elements are then used to detect dependencies in the original series. The author will demonstrate that the results presented in the above papers are not correct in the suggested generality. Moreover, simulation results indicate that the performance of the original tests are not as good as betoken.

Suggested Citation

  • Helmut Elsinger, 2010. "Independence Tests based on Symbolic Dynamics," Working Papers 165, Oesterreichische Nationalbank (Austrian Central Bank).
    • Handle: RePEc:onb:oenbwp:165
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    Cited by:

    1. Elsinger, Helmut, 2013. "Comment on: A non-parametric spatial independence test using symbolic entropy," Regional Science and Urban Economics, Elsevier, vol. 43(5), pages 838-840.
    2. Rey, Andrea & Frery, Alejandro C. & Gambini, Juliana & Lucini, Magdalena, 2024. "Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications," Chaos, Solitons & Fractals, Elsevier, vol. 188(C).
    3. Elsinger, Helmut, 2013. "Comment on: A new test for chaos and determinism based on symbolic dynamics," Journal of Economic Behavior & Organization, Elsevier, vol. 91(C), pages 131-138.

    More about this item

    Keywords

    Independence Tests; Symbolic Dynamics; Permutation Entropy;
    All these keywords.

    JEL classification:

    • C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
    • C52 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Model Evaluation, Validation, and Selection

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