Search Results - subject:"Ordinal patterns"

Spurious seasonality detection: A non-parametric test proposal

Bariviera, Aurelio F.; Plastino, Angelo; Judge, George - In: Econometrics 6 (2018) 1, pp. 1-15

develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called 'day …

Persistent link: https://www.econbiz.de/10011995204

Spurious seasonality detection : a non-parametric test proposal

Bariviera, Aurelio Fernández; Plastino, Angelo; Judge, … - In: Econometrics : open access journal 6 (2018) 1, pp. 1-15

develop a unique test based on ordinal patterns in order to detect it. This test uncovers the fact that the so-called “day …

Persistent link: https://www.econbiz.de/10011822333

An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series

Schnurr, Alexander - In: Statistical Papers 55 (2014) 4, pp. 919-931

We introduce two types of ordinal pattern dependence between time series. Positive (resp. negative) ordinal pattern dependence can be seen as a non-paramatric and in particular non-linear counterpart to positive (resp. negative) correlation. We show in an explorative study that both types of...

Persistent link: https://www.econbiz.de/10010949815

Causality and the entropy–complexity plane: Robustness and missing ordinal patterns

Rosso, Osvaldo A.; Carpi, Laura C.; Saco, Patricia M.; … - In: Physica A: Statistical Mechanics and its Applications 391 (2012) 1, pp. 42-55

from chaos, Phys. Rev. Lett. 99 (2007) 154102] and (ii) the estimation of the decay rate of missing ordinal patterns [J …. 79 (2007) 50001; L.C. Carpi, P.M. Saco, O.A. Rosso, Missing ordinal patterns in correlated noises. Physica A 389 (2010 …

Persistent link: https://www.econbiz.de/10011063079

Ordinal analysis of time series

Keller, K.; Sinn, M. - In: Physica A: Statistical Mechanics and its Applications 356 (2005) 1, pp. 114-120

and Pompe have proposed to consider time series from the pure ordinal viewpoint. On the basis of counting ordinal patterns …

Persistent link: https://www.econbiz.de/10010591226