On the frequencies of patterns of rises and falls

DOI10.1016/J.PHYSA.2014.04.010zbMATH Open1395.60013arXiv1309.7764OpenAlexW1985460712MaRDI QIDQ1782889FDOQ1782889

Authors: J. M. Luck 

Publication date: 20 September 2018

Published in: Physica A (Search for Journal in Brave)

Abstract: We investigate the probability of observing a given pattern of $n$ rises and falls in a random stationary data series. The data are modelled as a sequence of $n+1$ independent and identically distributed random numbers. This probabilistic approach has a combinatorial equivalent, where the data are modelled by a random permutation on $n+1$ objects. The probability of observing a long pattern of rises and falls decays exponentially with its length $n$ in general. The associated decay rate $alpha$ is interpreted as the embedding entropy of the pattern. This rate is evaluated exactly for all periodic patterns. In the most general case, it is expressed in terms of a determinant of generalized hyperbolic or trigonometric functions. Alternating patterns have the smallest rate $alph{a}_{mmin}=ln(pi/2)=0.451582dots$, while other examples lead to arbitrarily large rates. The probabilities of observing uniformly chosen random patterns are demonstrated to obey multifractal statistics. The typical value $alph{a}_0=0.806361dots$ of the rate plays the role of a Lyapunov exponent. A wide range of examples of patterns, either deterministic or random, is also investigated.

Full work available at URL: https://arxiv.org/abs/1309.7764

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zbMATH Keywords

permutationsentropypatternsmultifractalsrises and fallsdata series

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Combinatorial probability (60C05)

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Uses Software

• OEIS

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