The frequency of pattern occurrence in random walks

zbMATH Open1335.05005arXiv1412.0692MaRDI QIDQ2803294FDOQ2803294

Megan A. Martinez, Sergi Elizalde

Publication date: 4 May 2016

Abstract: In the past decade, the use of ordinal patterns in the analysis of time series and dynamical systems has become an important and rich tool. Ordinal patterns (otherwise known as a permutation patterns) are found in time series by taking $n$ data points at evenly-spaced time intervals and mapping them to a length-$n$ permutation determined by relative ordering. The frequency with which certain patterns occur is a useful statistic for such series; however, the behavior of the frequency of pattern occurrence is unstudied for most models. We look at the frequency of pattern occurrence in random walks in discrete time and, applying combinatorial methods, we characterize those patterns that have equal frequency, regardless of probability distribution.

Full work available at URL: https://arxiv.org/abs/1412.0692

zbMATH Keywords

random walktime series analysispermutation patternordinal patternpattern frequency

Mathematics Subject Classification ID

Permutations, words, matrices (05A05) Sums of independent random variables; random walks (60G50)

Cited In (3)

• Testing the random walk hypothesis: power versus frequency of observation
• Number of occurrences of subpattern until the first appearance of a pattern and geometric distribution.
• Statistics and contrasts of order patterns in univariate time series

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