Order Patterns in Time Series

Chstoph Bandt and Faten Shiha

Journal of Time Series Analysis, 2007, vol. 28, issue 5, 646-665

Abstract: Abstract. 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.

Date: 2007
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:28:y:2007:i:5:p:646-665

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