Eur. Phys. J. Special Topics 222, 333-351 (2013)
https://doi.org/10.1140/epjst/e2013-01845-8

Regular Article

The LE-statistic

A quantity useful for nonparametric independence tests and as a complexity measure of time series

Institute of Physics, Ernst-Moritz-Arndt-University, Greifswald, Germany

^a e-mail: pompe@uni-greifswald.de

Received: 27 March 2013
Revised: 25 April 2013
Published online: 25 June 2013

Abstract

We introduce a quantity called LE-statistic. It is an easily computable functional of ordinal data with versatile applications. We demonstrate its usefulness as a statistic in a nonparametric independence test of paired samples, and as a complexity measure of a scalar time series. For chaotic orbits of one-dimensional dynamical systems it is related to the Lyapunov characteristic exponent.