Abstract
ABSTRACTSerial independence is tested using two measures of the effects of noise reduction in chaotic data, proposed by Orzeszko (2005). The extensive Monte Carlo simulations on the size and power of the new permutation-based tests are performed. Four popular nonparametric tests for serial independence are employed as a benchmark. The conducted simulations show that the new tests may be effective tools for detecting different kinds of dependencies. Moreover, they can distinguish between nonlinearity in the mean and nonlinearity in the variance.
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