Revisiting the decay of missing ordinal patterns in long-term correlated time series

Felipe Olivares, Luciano Zunino and Dario G. Pérez

Physica A: Statistical Mechanics and its Applications, 2019, vol. 534, issue C

Abstract: We revisit the decay of missing ordinal patterns in long-term correlated time series. More precisely, a stretched exponential model is proposed to describe more appropriately how the number of missing ordinal patterns decreases as a function of the time series length in the case of correlated stochastic data. Numerical analysis and experimental applications confirm that this generalized model allows a more accurate characterization of the underlying dynamics and a reliable quantification of the long-range temporal correlations.

Keywords: Missing ordinal patterns; Long-range correlated stochastic processes; Bandt and pompe symbolization technique; Stretched exponential model (search for similar items in EconPapers)
Date: 2019
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:534:y:2019:i:c:s037843711931221x

DOI: 10.1016/j.physa.2019.122100

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