Detecting dependence part 2 by Clifford J. Sherry, Ph.D.
ARTICLE SYNOPSIS ...Detecting dependence part 2 by Clifford J. Sherry, Ph.D.
In an article in the last issue (Stocks & Commodities, April 1986), I outlined a means of detecting
whether dependence existed between prices in a time series. To read this article, you should recall the
method used in that article to create price change frequency histograms and divide them into classes.
Also, to avoid repetition, the exemplary data series from that article will be used.
Once you have generated the price change frequency histogram and divided it into the appropriate
classes, like thirds, and assigned each price change ...