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<p>The ordinal patterns of a fixed number of consecutive values in a time series are the spatial ordering of these values. Counting how often a specific ordinal pattern occurs in a time series provides important insights into the properties of the time series. In this work, we prove the asymptotic normality of the relative frequency of ordinal patterns for time series with linear increments. Moreover, we apply ordinal patterns to detect changes in the distribution of a time series.</p>

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Ordinal pattern-based change point detection

  • 期刊论文

  • 出版模式：

    开放获取

  • 发表日期：

    2025年8月15日

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  • Annika Betken,
  • Giorgio Micali,
  • Johannes Schmidt-Hieber

摘要

The ordinal patterns of a fixed number of consecutive values in a time series are the spatial ordering of these values. Counting how often a specific ordinal pattern occurs in a time series provides important insights into the properties of the time series. In this work, we prove the asymptotic normality of the relative frequency of ordinal patterns for time series with linear increments. Moreover, we apply ordinal patterns to detect changes in the distribution of a time series.