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Ordinal time series analysis (2005)
by
Christoph Bandt
| Venue: | Ecological Modelling |
| Citations: | 13 - 0 self |
BibTeX
@ARTICLE{Bandt05ordinaltime,
author = {Christoph Bandt},
title = {Ordinal time series analysis},
journal = {Ecological Modelling},
year = {2005},
volume = {182},
pages = {229--235}
}
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Abstract
We discuss robust methods of time series analysis which use only comparisons of values and not their actual size. Local and global order structure are defined as matrices or by rank numbers. Local ranks, autocorrelation by Kendall’s tau, and permutation entropy as complexity measure are introduced in such a way that they contain a scale parameter which allows to study time series on different scales. Key words: time series, Kendall’s tau, autocorrelation 1
