Artículo
White Noise Test from Ordinal Patterns in the Entropy–Complexity Plane
Chagas, Eduarda T. C.; Queiroz Oliveira, Marcelo; Rosso, Osvaldo Aníbal
; Ramos, Heitor S.; Freitas, Cristopher G. S.; Frery, Alejandro César
Fecha de publicación:
08/2022
Editorial:
Int Statistical Inst
Revista:
International Statistical Review
ISSN:
0306-7734
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
This article serves two purposes. Firstly, it surveys the Bandt and Pompe methodology for the statistical community, stressing topics that are open for research. Secondly, it contributes towards a better understanding of the statistical properties of that approach for time series analysis. The Bandt and Pompe methodology consists of computing information theory descriptors from the histogram of ordinal patterns. Such descriptors lie in a 2D manifold: the entropy–complexity plane. This article provides the first proposal of a test in the entropy–complexity plane for the white noise hypothesis. Our test is based on true white noise sequences obtained from physical devices. The proposed methodology provides consistent results: It assesses sequences of true random samples as random (adequate test size), rejects correlated and contaminated sequences (sound test power) and captures the randomness of generators previously analysed in the literature.
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Articulos(IFLP)
Articulos de INST.DE FISICA LA PLATA
Articulos de INST.DE FISICA LA PLATA
Citación
Chagas, Eduarda T. C.; Queiroz Oliveira, Marcelo; Rosso, Osvaldo Aníbal; Ramos, Heitor S.; Freitas, Cristopher G. S.; et al.; White Noise Test from Ordinal Patterns in the Entropy–Complexity Plane; Int Statistical Inst; International Statistical Review; 90; 2; 8-2022; 374-396
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