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Ordinal patterns describe the dynamics of a time series by looking at the ranks of subsequent observations. By comparing ordinal patterns of two times series, Schnurr (2014) <doi:10.1007/s00362-013-0536-8> defines a robust and non-parametric dependence measure: the ordinal pattern coefficient. Functions to calculate this and a method to detect a change in the pattern coefficient proposed in Schnurr and Dehling (2017) <doi:10.1080/01621459.2016.1164706> are provided.
Package details |
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Author | Alexander Duerre [aut, cre], Alexander Schnurr [aut] |
Maintainer | Alexander Duerre <alexander.duerre@udo.edu> |
License | GPL-2 | GPL-3 |
Version | 0.2.3 |
Package repository | View on CRAN |
Installation |
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