Ordinal analysis of time series

K. Keller and M. Sinn

Physica A: Statistical Mechanics and its Applications, 2005, vol. 356, issue 1, 114-120

Abstract: 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 basis 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 time series. The permutation entropy only provides one detail of the ordinal structure of a time series. Here we present a method for extracting the whole ordinal information.

Keywords: Time series; Complexity; Ordinal patterns; Permutation entropy (search for similar items in EconPapers)
Date: 2005
References: View complete reference list from CitEc
Citations: View citations in EconPapers (22)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:356:y:2005:i:1:p:114-120

DOI: 10.1016/j.physa.2005.05.022

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