Ordinal pattern-based change point detection

• Annika Betken ^[1] ; Giorgio Micali ^[1] ; Johannes Schmidt-Hieber ^[1]
  1. [1] University of Twente

     University of Twente

     Países Bajos

     
• Localización: Test: An Official Journal of the Spanish Society of Statistics and Operations Research, ISSN-e 1863-8260, ISSN 1133-0686, Vol. 34, Nº. 4, 2025, págs. 927-980
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • The ordinal patterns of a fixed number of consecutive values in a time series are the spatial ordering of these values. Counting how often a specific ordinal pattern occurs in a time series provides important insights into the properties of the time series. In this work, we prove the asymptotic normality of the relative frequency of ordinal patterns for time series with linear increments. Moreover, we apply ordinal patterns to detect changes in the distribution of a time series.