Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
883609 | Journal of Economic Behavior & Organization | 2013 | 8 Pages |
Abstract
In a recent paper Matilla-García and Marín (2010) propose a novel test to determine whether the dynamics of a time series are generated by a deterministic or a stochastic process. The results presented in the paper need some clarifications.
•Consecutive m-histories of a time-series are mapped onto a finite set of elements.•The permutation entropy is used to detect dependencies.•Modified permutation entropy is used to detect determinism.•A regression based test is analyzed.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Helmut Elsinger,