Testing for Structural Breaks via Ordinal Pattern Dependence
基于序模式依赖的结构突变检验
We propose new concepts to analyze and model the dependence structure between two time series. Our methods rely exclusively on the order structure of the data points. Hence, the methods are stable under monotone transformations of the time series and robust against small perturbations or measurement errors. Ordinal pattern dependence can be characterized by four parameters. We propose estimators for these parameters, and we calculate their asymptotic distributions.…