ordinalpattern

CRANordinalpatternMaRDI QIDQ5983241FDOQ5983241

Tests Based on Ordinal Patterns

Alexander Schnurr, Alexander Duerre

Last update: 9 August 2023

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.2.0, 0.2.1, 0.2.3

Description

Ordinal patterns describe the dynamics of a time series by looking at the ranks of subsequent observations. By comparing ordinal patterns of two times series, Schnurr (2014) <doi:10.1007/s00362-013-0536-8> defines a robust and non-parametric dependence measure: the ordinal pattern coefficient. Functions to calculate this and a method to detect a change in the pattern coefficient proposed in Schnurr and Dehling (2017) <doi:10.1080/01621459.2016.1164706> are provided.

Cites work

• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• Testing for Structural Breaks via Ordinal Pattern Dependence

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