Order Patterns in Time Series
| Autor: | Chstoph Bandt, F. A. Shiha |
|---|---|
| Rok vydání: | 2007 |
| Předmět: |
Statistics and Probability
Applied Mathematics Autocorrelation Stationary ergodic process Moving-average model Order of integration Combinatorics Autoregressive model Autoregressive integrated moving average Statistical physics Statistics Probability and Uncertainty Cross-spectrum Decomposition of time series Mathematics |
| Zdroj: | Journal of Time Series Analysis. 28:646-665 |
| ISSN: | 1467-9892 0143-9782 |
| DOI: | 10.1111/j.1467-9892.2007.00528.x |
| Popis: | Recent use of order patterns in time-series analysis shows the need for a corresponding theory. We determine probabilities of order patterns in Gaussian and autoregressive moving-average (ARMA) processes. Two order functions are introduced which characterize a time series in a way similar to autocorrelation. For stationary ergodic processes, all finite-dimensional distributions are obtained from the one-dimensional distribution plus the order structure of a typical time series. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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