The martingale Z-test

07/04/2022

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by   Kenneth D. Harris, et al.

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We describe a statistical test for association of two autocorrelated time series, one of which generated randomly at each time point from a known but possibly history-dependent distribution. The null hypothesis is that at each time point, the two variables are independent, conditional on history until that time point. We define a test statistic that is a martingale under the null hypothesis and describe an asymptotic test for it based on the martingale central limit theorem. If we reject this null hypothesis, we may infer an immediate causal effect of the randomized variable on the measured variable.