ordinalpattern

Ordinal patterns describe the dynamics of a time series by looking at the ranks of subsequent observations. By comparing ordinal patterns of two times series, Schnurr (2014) doi:10.1007/s00362-013-0536-8 defines a robust and non-parametric dependence measure: the ordinal pattern coefficient. Functions to calculate this and a method to detect a change in the pattern coefficient proposed in Schnurr and Dehling (2017) doi:10.1080/01621459.2016.1164706 are provided.