A non-parametric independence test using permutation entropy

DOI10.1016/j.jeconom.2007.12.005zbMath1418.62200OpenAlexW2049834491MaRDI QIDQ292144

Mariano Matilla-García, Manuel Ruiz Marin

Publication date: 10 June 2016

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jeconom.2007.12.005

zbMATH Keywords

entropyindependenceinvariancesymbolic dynamicsrandom walknonlinear time seriesi.i.d

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)

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