Submitted:
27 July 2018
Posted:
27 July 2018
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Abstract
This paper is devoted to change-point detection using only the ordinal structure of a time series. A statistic based on the conditional entropy of ordinal patterns characterizing the local up and down in a time series is introduced and investigated. The statistic requires only minimal a priori information on given data and shows good performance in numerical experiments.
Keywords:
change-point detection
; conditional entropy
; ordinal pattern
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