| Nonlinear Dynamics, Psychology, and Life Sciences, Vol. 18, Iss. 2, Apr, 2014, pp. 123-136 @2014 Society for Chaos Theory in Psychology & Life Sciences Nonparametric Tests for Serial Dependence Based on Runs Abstract: 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 TST(p) (Skaugh and Tjostheim, 1993), TDE(p) (Delgado, 1996) and
G(m) (Matilla-Garcia and Ruiz, 2008) for serial dependence showing the runs tests perform well. Keywords: serial dependence, nonparametric tests, runs test, symbolic dynamics |