Testing for independence: Permutation based tests vs. BDS test

被引：6

作者：

Canovas, J. S. ^{[1
]}

Guillamon, A. ^{[1
]}

Vera, S. ^{[1
]}

机构：

[1] Univ Politecn Cartagena, Dept Matemat Aplicada & Estadist, Cartagena 30202, Spain

来源：

EUROPEAN PHYSICAL JOURNAL-SPECIAL TOPICS | 2013年 / 222卷 / 02期

关键词：

FORBIDDEN PATTERNS; ENTROPY;

D O I：

10.1140/epjst/e2013-01841-0

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

The aim of this paper is bringing a bit of light on the problem of testing independence for time series. We make a comparative study of the well-known BDS test versus the new tests based on permutations that have been recently developed by several authors. Our study shows that even for purely deterministic time series the tests systematically fails and therefore the assertion "test A is better than test B" cannot be done and the use of several tests may help to avoid the fact of making wrong conclusions.

引用

页码：275 / 284

页数：10

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