Ordinal pattern probabilities for symmetric random walks
Abstract
An ordinal pattern for a finite sequence of real numbers is a permutation that records the relative positions in the sequence. For random walks with steps drawn uniformly from , we show an ordinal pattern occurs with probability , where is a weak order interval in the affine Weyl group . For random walks with steps drawn from a symmetric Laplace distribution, the probability is , where measures how often occurs between consecutive values in . Permutations whose consecutive values are at most two positions apart in are shown to occur with the same probability for any choice of symmetric continuous step distribution. For random walks with steps from a mean zero normal distribution, ordinal pattern probabilities are determined by a matrix whose -th entry measures how often and are between consecutive values.
Cite
@article{arxiv.1907.07172,
title = {Ordinal pattern probabilities for symmetric random walks},
author = {Hugh Denoncourt},
journal= {arXiv preprint arXiv:1907.07172},
year = {2019}
}
Comments
23 pages, 4 figures, 1 table. Some minor edits. Important fix to Definition 5.26, which had an earlier draft's formalism