Ordinal pattern dependence between hydrological time series

Ordinal Pattern Dependence between hydrological time series

An Ordinal Pattern Approach to Detect and to Model Leverage Effects and Dependence Structures Between Financial Time Series

We introduce the concept of ordinal pattern dependence between time series and show in an explorative study that both types of this dependence show up in real world financial data.

Segmentation and classification of time series using ordinal pattern distributions

The distribution of ordinal patterns in time series has been found to reflect important qualitative features of the underlying system dynamics. Abrupt changes in the dynamics typically result in clearly visible differences between the distributions before and after the break. Recurring dynamical regimes can be discovered by classifying the distributions in different parts of the time series. Th...

Ordinal time series analysis

We discuss robust methods of time series analysis which use only comparisons of values and not their actual size. Local and global order structure are defined as matrices or by rank numbers. Local ranks, autocorrelation by Kendall’s tau, and permutation entropy as complexity measure are introduced in such a way that they contain a scale parameter which allows to study time series on different s...

Ordinal Analysis of Time Series

In order to develop fast and robust methods for extracting qualitative information from non-linear time series, Bandt and Pompe have proposed to consider time series from the pure ordinal viewpoint. On the base of counting ordinal patterns, which describe the up-and-down in a time series, they have introduced the concept of permutation entropy for quantifying the complexity of a system behind a...