ordinalpattern: Tests Based on Ordinal Patterns

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.

Getting started

Package details

AuthorAlexander Duerre [aut, cre], Alexander Schnurr [aut]
MaintainerAlexander Duerre <alexander.duerre@udo.edu>
LicenseGPL-2 | GPL-3
Package repositoryView on CRAN
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ordinalpattern documentation built on March 24, 2020, 5:08 p.m.