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Permutations and time series analysis

Chaos 19, 043103 (2009); doi:10.1063/1.3238256

Published 13 October 2009

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Jose S. Cánovas and Antonio Guillamón
Departamento de Matemática Aplicada y Estadística, Universidad Politécnica de Cartagena, C/Doctor Fleming sn., 30202 Cartagena, Spain
The main aim of this paper is to show how the use of permutations can be useful in the study of time series analysis. In particular, we introduce a test for checking the independence of a time series which is based on the number of admissible permutations on it. The main improvement in our tests is that we are able to give a theoretical distribution for independent time series. ©2009 American Institute of Physics
History: Received 18 February 2009; accepted 5 September 2009; published 13 October 2009
Permalink: http://link.aip.org/link/?CHAOEH/19/043103/1
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KEYWORDS and PACS

Keywords
PACS
  • 05.45.Tp
    Time series analysis (nonlinear dynamical systems)
  • 05.40.-a
    Fluctuation phenomena, random processes, noise, and Brownian motion
  • 02.50.-r
    Probability theory, stochastic processes, and statistics
  • YEAR: 2009

PUBLICATION DATA

ISSN:
1054-1500 (print)   1089-7682 (online)
Publisher:
AIP is a member of CrossRef AIP

REFERENCES (15)

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