Change-point detection using the conditional entropy of ordinal patterns
Statistics Theory
2017-07-18 v2 Statistics Theory
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.
Cite
@article{arxiv.1510.01457,
title = {Change-point detection using the conditional entropy of ordinal patterns},
author = {Anton M. Unakafov and Karsten Keller},
journal= {arXiv preprint arXiv:1510.01457},
year = {2017}
}