Ordinal pattern probabilities for symmetric random walks

arXiv1907.07172MaRDI QIDQ6322211FDOQ6322211

Authors: Hugh Denoncourt 

Publication date: 16 July 2019

Abstract: An ordinal pattern for a finite sequence of real numbers is a permutation that records the relative positions in the sequence. For random walks with steps drawn uniformly from $[-1,1]$, we show an ordinal pattern occurs with probability $frac|[1,w]|2^{n}n!$, where $[1,w]$ is a weak order interval in the affine Weyl group $widetilde{A}_n$. For random walks with steps drawn from a symmetric Laplace distribution, the probability is $frac12^{n}pro{d}_{j=1}^{n}mathrmlev(pi{)}_j$, where $mathrmlev(pi{)}_j$ measures how often $j$ occurs between consecutive values in $pi$. Permutations whose consecutive values are at most two positions apart in $pi$ are shown to occur with the same probability for any choice of symmetric continuous step distribution. For random walks with steps from a mean zero normal distribution, ordinal pattern probabilities are determined by a matrix whose $ij$-th entry measures how often $i$ and $j$ are between consecutive values.

Has companion code repository: https://github.com/HughDen/OrdinalPatterns

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