A Non-Parametric Independence Test Using Permutation Entropy

• Autores: Mariano Matilla García, Manuel Ruiz Marín
• Localización: Notas técnicas: [continuación de Documentos de Trabajo FUNCAS], ISSN-e 1988-8767, Nº. 379, 2008
• Idioma: español
• Enlaces
  • Texto completo
• Resumen

  • 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.