Independence Testing for Temporal Data

Published: 28 May 2024, Last Modified: 28 May 2024Accepted by TMLREveryoneRevisionsBibTeX
Abstract: Temporal data are increasingly prevalent in modern data science. A fundamental question is whether two time series are related or not. Existing approaches often have limitations, such as relying on parametric assumptions, detecting only linear associations, and requiring multiple tests and corrections. While many non-parametric and universally consistent dependence measures have recently been proposed, directly applying them to temporal data can inflate the p-value and result in an invalid test. To address these challenges, this paper introduces the temporal dependence statistic with block permutation to test independence between temporal data. Under proper assumptions, the proposed procedure is asymptotically valid and universally consistent for testing independence between stationary time series, and capable of estimating the optimal dependence lag that maximizes the dependence. Moreover, it is compatible with a rich family of distance and kernel based dependence measures, eliminates the need for multiple testing, and exhibits excellent testing power in various simulation settings.
Submission Length: Long submission (more than 12 pages of main content)
Changes Since Last Submission: fix minor citation typos
Assigned Action Editor: ~Mauricio_A_Álvarez1
Submission Number: 2275