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Non-parametric tests for serial dependence in time series based on asymptotic implementations of ordinal-pattern
1Department of Mathematics and Statistics, Helmut Schmidt University, 22043 Hamburg, Germany.
Abstract:
Ordinal patterns can be used to construct non-parametric hypothesis tests that aim to discover (possibly non-linear) serial dependence in a real-valued time series. We derive the asymptotic distribution of the vector of sample frequencies of ordinal patterns and that of various corresponding tests statistics such that the targeted tests for serial dependence are easily implemented based on asymptotic approximations. Simulations are used to check the finite-sample performance of these tests as well as their power properties with respect to various alternative scenarios. The application and interpretation of the tests in practice are illustrated by an environmental data example.
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