Estimation of ordinal pattern probabilities in Gaussian processes with stationary increments

DOI10.1016/J.CSDA.2010.11.009MaRDI QIDQ901559zbMATH OpenOpenAlexFDO

Authors Mathieu Sinn, Karsten Keller

Publication date 12 January 2016

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.csda.2010.11.009

zbMATH Keywords

time seriesestimationHurst parameterpermutation entropyordinal pattern

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 3755661 (Why is no real title available?)
• scientific article; zbMATH DE number 3775877 (Why is no real title available?)
• scientific article; zbMATH DE number 1249686 (Why is no real title available?)
• scientific article; zbMATH DE number 847242 (Why is no real title available?)
• A central limit theorem for non-instantaneous filters of a stationary Gaussian process
• Covariances of zero crossings in Gaussian processes
• ESTIMATORS FOR LONG-RANGE DEPENDENCE: AN EMPIRICAL STUDY
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Order Patterns in Time Series
• PARAMETER SELECTION FOR PERMUTATION ENTROPY MEASUREMENTS
• TIME SERIES FROM THE ORDINAL VIEWPOINT

Cited in

(14)

• Rank-based change-point analysis for long-range dependent time series
• Generalized ordinal patterns allowing for ties and their applications in hydrology
• Ordinal pattern dependence as a multivariate dependence measure
• Confidence intervals and hypothesis testing for the permutation entropy with an application to epilepsy
• Ordinal patterns in clusters of subsequent extremes of regularly varying time series
• scientific article; zbMATH DE number 125967 (Why is no real title available?)
• White Noise Test from Ordinal Patterns in the Entropy–Complexity Plane
• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• Ordinal symbolic analysis and its application to biomedical recordings
• Quantification of fracture roughness by change probabilities and Hurst exponents
• Non-parametric analysis of serial dependence in time series using ordinal patterns
• Contrasting chaotic with stochastic dynamics via ordinal transition networks
• Order patterns, their variation and change points in financial time series and Brownian motion
• Statistics and contrasts of order patterns in univariate time series

Describes a project that uses

Uses Software

• SimEstFBM
• longmemo

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