Ordinal analysis of time series

K. Keller, M. Sinn


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.

Original languageGerman
JournalPhysica A: Statistical Mechanics and its Applications
Publication statusPublished - 01.10.2005

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