An Independence Test Based on Symbolic Time Series

الملخص EN

An independence test based on symbolic time series analysis (STSA) is developed.

Considering an independent symbolic time series there is a statistic asymptotically distributed as a CHI-2 with n-1 degrees of freedom.

Size and power experiments for small samples were conducted applying Monte Carlo simulations and comparing the results with BDS and runs test.

The introduced test shows a good performance detecting independence in nonlinear and chaotic systems.