Abstract

A test for independence of multivariate time series based on the mutual information measure is proposed. First of all, a test for independence between two variables based on i.i.d. (time-independent) data is constructed and is then extended to incorporate higher dimensions and strictly stationary time series data. The smoothed bootstrap method is used to estimate the null distribution of mutual information. The experimental results reveal that the proposed smoothed bootstrap test performs better than the existing tests and can achieve high powers even for moderate dependence structures. Finally, the proposed test is applied to assess the actual independence of components obtained from independent component analysis (ICA).

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