ordinal_pattern_time_series function

A function to compute time series of ordinal patterns

Computation of the ordinal patterns of a time series (see e.g. Bandt and Pompe 2002)

ordinal_pattern_time_series(x, ndemb)

Arguments

• x: A numeric vector (e.g. a time series), from which the ordinal pattern time series is to be calculated
• ndemb: Embedding dimension of the ordinal patterns (i.e. sliding window size). Should be chosen such as length(x) >> ndemb

Returns

A character vector of length(x) is returned.

Details

This function returns the distribution of ordinal patterns using the Keller coding scheme, detailed in Physica A 356 (2005) 114-120. NA values are allowed, and any pattern that contains at least one NA value will be ignored. (Fast) C routines are used for computing ordinal patterns.

Examples

x = arima.sim(model=list(ar = 0.3), n = 10^4)
ordinal_pattern_time_series(x = x, ndemb = 6)

References

Bandt, C. and Pompe, B., 2002. Permutation entropy: a natural complexity measure for time series. Physical review letters, 88(17), p.174102.

Author(s)

Sebastian Sippel