Using permutations to detect dependence between time series

DOI10.1016/J.PHYSD.2011.04.010MaRDI QIDQ2276166zbMATH OpenOpenAlexFDO

Authors A. Guillamón, Jose S. Canovas, M. D. Ruiz

Publication date 1 August 2011

Published in Physica D (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.physd.2011.04.010

zbMATH Keywords

permutationsentropytime seriesindependenceproduct formula

Mathematics Subject Classification ID

Nonparametric hypothesis testing (62G10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Recommendations

• A non-parametric independence test using permutation entropy
• Permutations and time series analysis
• A non-parametric test for independence based on symbolic dynamics
• Measures of Dependence and Tests of Independence
• On testing for independence between the innovations of several time series

Cites work

• scientific article; zbMATH DE number 3911472 (Why is no real title available?)
• scientific article; zbMATH DE number 3745547 (Why is no real title available?)
• A Comparison of Tests of the Independence of Two Covariance-Stationary Time Series
• A survey of exact inference for contingency tables. With comments and a rejoinder by the author
• A symbolic test for testing independence between time series
• An Empirical Investigation of Goodness-of-Fit Statistics for Sparse Multinomials
• Checking the Independence of Two Covariance-Stationary Time Series: A Univariate Residual Cross-Correlation Approach
• Entropy of interval maps via permutations
• Estimating topological entropy from individual orbits
• NOTE ON AN EXACT TREATMENT OF CONTINGENCY, GOODNESS OF FIT AND OTHER PROBLEMS OF SIGNIFICANCE
• Periodicity versus chaos in one-dimensional dynamics
• Some Methods for Strengthening the Common χ 2 Tests
• Testing for independence between two covariance stationary time series

Cited in

(17)

• A non-parametric independence test using permutation entropy
• Adaptive permutation tests for serial independence
• Permutation entropy and its main biomedical and econophysics applications: a review
• Permutations and time series analysis
• On detecting the dependence of time series
• A symbolic test for testing independence between time series
• A non-parametric test for independence based on symbolic dynamics
• Application of joint permutations for predicting coupled time series
• TESTING INDEPENDENCE IN TIME SERIES VIA UNIVERSAL DISTRIBUTIONS OF PERMUTATIONS AND WORDS
• Permutation test of tail dependence
• Permutation entropy and its variants for measuring temporal dependence
• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• Reciprocal characterization from multivariate time series to multilayer complex networks
• Ordinal methods: concepts, applications, new developments, and challenges -- in memory of Karsten Keller (1961--2022)
• Sign patterns symbolization and its use in improved dependence test for complex network inference
• Assessing serial dependence in ordinal patterns processes using chi-squared tests with application to EEG data analysis
• Multiscale two-dimensional permutation entropy to analyze encrypted images

Describes a project that uses

Uses Software

• StatXact

This page was built for publication: Using permutations to detect dependence between time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2276166)