The difference-sign runs length distribution in testing for serial independence
The difference-sign runs length distribution in testing for serial independence
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DOI：
10.1080/02664761003758984
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发表时间：
2011-01-01
影响因子：
1.5
通讯作者：
Cammarota, Camillo
中科院分区：
文献类型：
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作者：
Cammarota, Camillo
我们在序列独立性的非参数检验的背景下研究了时间序列的差分符号运行长度序列。在适当的条件下，该序列是一个平稳序列，我们证明了两个连续运行长度的归一化相关性很小（近似为0.0427）。我们将此结果用于基于运行长度经验分布的相对熵的测试中。我们研究了该测试在模拟序列和测试序列独立性心房颤动心脏数据序列中的性能。
We investigate the sequence of difference-sign runs length of a time series in the context of non-parametric tests for serial independence. This sequence is, under suitable conditioning, a stationary sequence and we prove that the normalized correlation of two consecutive runs length is small (approximate to 0.0427). We use this result in a test based on the relative entropy of the empirical distribution of the runs length. We investigate the performance of the test in simulated series and test serial independence of cardiac data series in atrial fibrillation.