Arbeitspapier
Independence Tests based on Symbolic Dynamics
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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Working Paper ; No. 165
- Klassifikation
-
Wirtschaft
Hypothesis Testing: General
Model Evaluation, Validation, and Selection
- Thema
-
Independence Tests
Symbolic Dynamics
Permutation Entropy
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Elsinger, Helmut
- Ereignis
-
Veröffentlichung
- (wer)
-
Oesterreichische Nationalbank (OeNB)
- (wo)
-
Vienna
- (wann)
-
2010
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Elsinger, Helmut
- Oesterreichische Nationalbank (OeNB)
Entstanden
- 2010
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