Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/264757 
Year of Publication: 
2010
Series/Report no.: 
Working Paper No. 165
Publisher: 
Oesterreichische Nationalbank (OeNB), Vienna
Abstract: 
New methods to test whether a time series is i.i.d. are proposed in a recent series of papers (Matilla-García [2007], Matilla-García and Marín [2008], Matilla-García and Marín [2009], and Matilla-García et al. [2010]). The main idea is to map m-histories of a time series onto elements of the symmetric group. The observed frequencies of the different elements are then used to detect dependencies in the original series. The author will demonstrate that the results presented in the above papers are not correct in the suggested generality. Moreover, simulation results indicate that the performance of the original tests are not as good as betoken.
Subjects: 
Independence Tests
Symbolic Dynamics
Permutation Entropy
JEL: 
C12
C52
Document Type: 
Working Paper

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