Estimation of ordinal pattern probabilities in Gaussian processes with stationary increments

Computational Statistics and Data Analysis

Volumn 55, Issue 4, 2011, Pages 1781-1790

  Sinn, Mathieu ^a   Keller, Karsten ^b  

^a UNIVERSITY OF WATERLOO   (Canada)

^b UNIVERSITY OF LÜBECK   (Germany)

Author keywords

Estimation; Hurst parameter; Ordinal pattern; Permutation entropy; Time series

Indexed keywords

DISCRETE-TIME; FRACTIONAL BROWNIAN MOTION; GAUSSIAN PROCESSES; HURST PARAMETER; ORDINAL PATTERN; PERMUTATION ENTROPY; SAMPLE FREQUENCY; SIMULATION STUDIES; STATIONARY INCREMENTS; STATISTICAL PROPERTIES; STRUCTURAL CHANGE; SUFFICIENT CONDITIONS; UNDERLYING DYNAMICS; ZERO-CROSSINGS;

BROWNIAN MOVEMENT; ENTROPY; ESTIMATION; FREQUENCY ESTIMATION; GAUSSIAN DISTRIBUTION; GAUSSIAN NOISE (ELECTRONIC); PROBABILITY; TIME SERIES;

PARAMETER ESTIMATION;

EID: 78650826767     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2010.11.009     Document Type: Article

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