An Independence Test Based on Symbolic Time Series. (24th February 2014)

• Record Type: Journal Article
• Authors: Risso, Wiston Adrián
• Other Names: Pennini Flavia Academic Editor.
• Is Part Of: International journal of statistical mechanics. Volume 2014(2014)
• Publication Date: 2014-02-24
• Subjects: Statistical mechanics -- Periodicals; Statistical mechanics; Periodicals; 530.13
• DOI: 10.1155/2014/809383
• Languages: English
• ISSNs: 2356-7112

Abstract

Abstract : An independence test based on symbolic time series analysis (STSA) is developed. Considering an independent symbolic time series there is a statistic asymptotically distributed as a CHI-2 withn - 1 degrees of freedom. Size and power experiments for small samples were conducted applying Monte Carlo simulations and comparing the results with BDS and runs test. The introduced test shows a good performance detecting independence in nonlinear and chaotic systems.