Ordinal pattern dependence as a multivariate dependence measure

DOI10.1016/j.jmva.2021.104798zbMath1476.62103arXiv2012.02445OpenAlexW3195845811MaRDI QIDQ2237816

Annika Betken, Ines Nüßgen, Alexander Schnurr, Herold G. Dehling

Publication date: 28 October 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2012.02445

zbMATH Keywords

time serieslimit theoremsmultivariate dependenceconcordance orderingordinal patternordinal pattern dependence

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Central limit and other weak theorems (60F05) Measures of association (correlation, canonical correlation, etc.) (62H20)

Related Items (2)

Generalized ordinal patterns allowing for ties and their applications in hydrology ⋮ Measuring linear correlation between random vectors

Cites Work

• Measuring association and dependence between random vectors
• An ordinal pattern approach to detect and to model leverage effects and dependence structures between financial time series
• Estimation of ordinal pattern probabilities in Gaussian processes with stationary increments
• Multivariate concordance
• Order patterns, their variation and change points in financial time series and Brownian motion
• Ordinal synchronization: using ordinal patterns to capture interdependencies between time series
• Multivariate Kendall's tau for change-point detection in copulas
• Order Patterns in Time Series
• Strong laws for 𝐿- and 𝑢-statistics
• TESTING FOR CHANGES IN KENDALL’S TAU

This page was built for publication: Ordinal pattern dependence as a multivariate dependence measure