Antipersistent binary time series

DOI10.1088/0305-4470/35/3/316MaRDI QIDQ4465572zbMATH OpenOpenAlexFDO

Authors Richard Metzler

Publication date 9 June 2004

Published in Journal of Physics A: Mathematical and General (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/cond-mat/0109243

Mathematics Subject Classification ID

Discretization methods and integrators (symplectic, variational, geometric, etc.) for dynamical systems (37M15) Combinatorial probability (60C05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Stochastic methods (Fokker-Planck, Langevin, etc.) applied to problems in time-dependent statistical mechanics (82C31)

Abstract: Completely antipersistent binary time series are sequences in which every time that an $N$-bit string $mu$ appears, the sequence is continued with a different bit than at the last occurrence of $mu$. This dynamics is phrased in terms of a walk on a DeBruijn graph, and properties of transients and cycles are studied. The predictability of the generated time series for an observer who sees a longer or shorter time window is investigated also for sequences that are not completely antipersistent.

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