Ordinal pattern dependence and multivariate measures of dependence

DOI10.1016/J.JMVA.2024.105337MaRDI QIDQ6596180zbMATH OpenFDO

Authors Angelika Silbernagel, Alexander Schnurr

Publication date 2 September 2024

Published in Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.JMVA.2024.105337

zbMATH Keywords

time seriesdependence measuresordinal patterns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Multivariate analysis (62Hxx)

Cites work

• scientific article; zbMATH DE number 42272 (Why is no real title available?)
• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• Generalized ordinal patterns allowing for ties and their applications in hydrology
• Measuring association and dependence between random vectors
• Non-parametric analysis of serial dependence in time series using ordinal patterns
• Non-parametric tests for serial dependence in time series based on asymptotic implementations of ordinal-pattern statistics
• Ordinal pattern dependence as a multivariate dependence measure
• Ordinal patterns in long‐range dependent time series
• Statistics and contrasts of order patterns in univariate time series

Cited in

(1)

• Non-parametric tests for cross-dependence based on multivariate extensions of ordinal patterns

This page was built for publication: Ordinal pattern dependence and multivariate measures of dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6596180)