Communications in Statistics Part B: Simulation and Computation, ( ISI ), Volume (48), No (10), Year (2018-10) , Pages (2877-2897)

Title : ( The modified permutation entropy-based independence test of time series )

Authors: Emad Ashtari Nezhad , Yadollah Waghei , Gholam Reza Mohtashami Borzadaran , H.R.NilliSani , Hadi Alizadeh Noughabi ,

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Abstract

In time series, it is essential to check the independence of data by means of a proper method or an appropriate statistical test before any further analysis. Therefore, among different independence tests, a powerful and productive test has been introduced by Matilla-García and Marín via m-dimensional vectorial process, in which the value of the process at timetincludesm-histories of the primary process. However, this method causes a dependency for the vectors even when the independence assumption of random variables is considered. Considering this dependency, a modified test is obtained in this article through presenting a new asymptotic distribution based on weighted chi-square random variables. Also, some other alterations to the test have been made via bootstrap method and by controlling the overlap. Compared with the primary test, it is obtained that not only the modified test is more accurate but also, it possesses higher power.

Keywords

, G(m)test; independence test; m, dependent random variables; permutation entropy; simulation study
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@article{paperid:1071317,
author = { and and Mohtashami Borzadaran, Gholam Reza and and },
title = {The modified permutation entropy-based independence test of time series},
journal = {Communications in Statistics Part B: Simulation and Computation},
year = {2018},
volume = {48},
number = {10},
month = {October},
issn = {0361-0918},
pages = {2877--2897},
numpages = {20},
keywords = {G(m)test; independence test; m-dependent random variables; permutation entropy; simulation study},
}

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%0 Journal Article
%T The modified permutation entropy-based independence test of time series
%A
%A
%A Mohtashami Borzadaran, Gholam Reza
%A
%A
%J Communications in Statistics Part B: Simulation and Computation
%@ 0361-0918
%D 2018

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