Two Tests for Dependence (of Unknown Form) between Time Series

Two Tests for Dependence (of Unknown Form) between Time Series

Blog Article

This paper proposes two new nonparametric tests for independence between time series.Both tests are Patient Lifts based on symbolic analysis, specifically on symbolic correlation integral, in order to be robust to potential unknown nonlinearities.The first test is developed for a scenario in which each considered time series is independent and therefore the interest is to ascertain if two internally independent time series share a relationship of an unknown form.

This is especially relevant as the test is nuisance parameter free, as proved in the paper.The second proposed statistic tests for independence among variables, allowing these time series to exhibit within-dependence.Monte THYME Carlo experiments are conducted to show the empirical properties of the tests.