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The European Physical Journal Special Topics

, Volume 222, Issue 2, pp 275–284 | Cite as

Testing for independence: Permutation based tests vs. BDS test

Regular Article Theoretical Aspects I: Concepts, Structural Results and Methods

Abstract

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.

Keywords

Null Hypothesis European Physical Journal Special Topic Rejection Rate Topological Entropy Symbolic Dynamics 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© EDP Sciences and Springer 2013

Authors and Affiliations

  1. 1.Universidad Politécnica de Cartagena, Departamento de Matemática Aplicada y EstadísticaCartagenaSpain

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