A Shift Test for Independence in Generic Time Series
share
We describe a family of conservative statistical tests for independence of two autocorrelated time series. The series may take values in any sets, and one of them must be stationary. A user-specified function quantifying the association of a segment of the two series is compared to an ensemble obtained by time-shifting the stationary series -N to N steps. If the series are independent, the unshifted value is in the top m shifted values with probability at most m/(N+1). For large N, the probability approaches m/(2N+1). A conservative test rejects independence at significance α if the unshifted value is in the top α(N+1), and has half the power of an approximate test valid in the large N limit. We illustrate this framework with a test for correlation of autocorrelated categorical time series.
READ FULL TEXT