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Keywords:

  • Independence test;
  • symbolic analysis;
  • entropy

In this article we introduce a test for independence between two processes {Xt} and {Yt}. To this end we rely on symbolic dynamics and permutation entropy as a measure of dependence. As a result, a nonparametric (model-free) test for either linear or nonlinear processes is presented. The test is consistent for a broad range of dependent alternatives. Empirical simulations indicate and highlight the general utility of the test for time-series analysts.