The frequency of pattern occurrence in random walks

In the past decade, the use of ordinal patterns in the analysis of time series and dynamical systems has become an important tool. Ordinal patterns (otherwise known as a permutation patterns) are found in time series by taking $n$ data points at evenly-spaced time intervals and mapping them to a len...

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Bibliographic Details
Main Authors: Sergi Elizalde, Megan Martinez
Format: Article
Language:English
Published: Discrete Mathematics & Theoretical Computer Science 2015-01-01
Series:Discrete Mathematics & Theoretical Computer Science
Subjects:
Online Access:https://dmtcs.episciences.org/2476/pdf
Description
Summary:In the past decade, the use of ordinal patterns in the analysis of time series and dynamical systems has become an important tool. Ordinal patterns (otherwise known as a permutation patterns) are found in time series by taking $n$ data points at evenly-spaced time intervals and mapping them to a length-$n$ permutation determined by relative ordering. The frequency with which certain patterns occur is a useful statistic for such series. However, the behavior of the frequency of pattern occurrence is unstudied for most models. We look at the frequency of pattern occurrence in random walks in discrete time, and we define a natural equivalence relation on permutations under which equivalent patterns appear with equal frequency, regardless of probability distribution. We characterize these equivalence classes applying combinatorial methods.
ISSN:1365-8050