Permutation entropy and its variants for measuring temporal dependence

DOI10.1111/anzs.12376zbMath1521.62149MaRDI QIDQ6075175

David H. Pitt, Han Lin Shang, Unnamed Author

Publication date: 20 October 2023

Published in: Australian & New Zealand Journal of Statistics (Search for Journal in Brave)

zbMATH Keywords

discretisation; non-stationarity; ordinal pattern; financial time series analysis; EUR/USD exchange rate; high-frequency return

Mathematics Subject Classification ID

62P20: Applications of statistics to economics

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62B10: Statistical aspects of information-theoretic topics

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