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Using permutations to detect dependence between time series |
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| Authors: | Jose S Cánovas Antonio Guillamón María del Carmen Ruíz |
| Institution: | 1. School of Finance, Anhui University of Finance & Economics, Bengbu, Anhui 233030, PR China;2. School of Management Science and Engineering, Anhui University of Finance & Economics, Bengbu, Anhui 233030, PR China;3. School of Statistics and Mathematics, Zhejiang Gongshang University, Hangzhou, Zhejiang 310018, PR China |
| Abstract: | In this paper, we propose an independence test between two time series which is based on permutations. The proposed test can be carried out by means of different common statistics such as Pearson’s chi-square or the likelihood ratio. We also point out why an exact test is necessary. Simulated and real data (return exchange rates between several currencies) reveal the capacity of this test to detect linear and nonlinear dependences. |
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