A quantity useful for nonparametric independence tests and as a complexity measure of time series
Institute of Physics, Ernst-Moritz-Arndt-University, Greifswald, Germany
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Revised: 25 April 2013
Published online: 25 June 2013
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.
© EDP Sciences, Springer-Verlag, 2013