Nonparametric Tests for Serial Dependence Based on Runs

Manuel Ruiz; Usula Faura; Matilde Lafuente; Mohammed H. I. Dore

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Nonparametric Tests for Serial Dependence Based on Runs

机译：基于运行的序列相关性的非参数检验

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In this paper we propose several nonparametric independence tests for serial dependence based on runs. The tests can be applied to quantitative or categorical data. With a Monte Carlo experiment we show the size and power performance of the different statistics under linear and nonlinear data generating processes. We also compare the runs tests with well-known statistics T_(ST(p) (Skaugh & Tjostheim, 1993), T_(DE(p)) (Delgado, 1996) and G(m) (Matilla-Garcia & Ruiz, 2008) for serial dependence showing the runs tests perform well.

机译：在本文中，我们针对基于运行的序列依赖性提出了几种非参数独立性测试。这些测试可以应用于定量或分类数据。通过蒙特卡洛实验，我们展示了线性和非线性数据生成过程下不同统计量的大小和功效。我们还将运行测试与著名的统计数据T_（ST（p）（Skaugh＆Tjostheim，1993），T_（DE（p））（Delgado，1996）和G（m）（Matilla-Garcia＆Ruiz，2008）进行比较。）的序列依赖性，表明运行测试表现良好。

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《Nonlinear dynamics, psychology and life sciences》 |2014年第2期|123-136|共14页
作者
Manuel Ruiz; Usula Faura; Matilde Lafuente; Mohammed H. I. Dore;
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作者单位

Technical University of Cartagena, Spain;

University of Murcia, Spain;

University of Murcia, Spain;

Climate Change Lab, Department of Economics, Brock University, St Catharines, ON, Canada L2S 3A1;

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正文语种 eng
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关键词
serial dependence; nonparametric tests; runs test; symbolic dynamics;

机译：序列依赖非参数检验运行测试;符号动力学;

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Nonparametric Tests for Serial Dependence Based on Runs

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