Random Walk Null Models for Time Series Data
(joint work with Daryl DeFord)
Permutation entropy has become a standard tool for time series analysis that exploits the temporal properties of these data sets. Many current applications use an approach based on Shannon entropy, which implicitly assumes an underlying uniform distribution of patterns. In this paper, we analyze random walk null models for time series and determine the corresponding permutation distributions. These new techniques allow us to explicitly describe the behavior of real world data in terms of more complex generative processes. Additionally, building on recent results of Martinez, we define a validation measure that allows us to determine when a random walk is an appropriate model for a time series. We demonstrate the usefulness of our methods using empirical data drawn from a variety of fields.
Patterns in Negative Shifts and Signed Shifts
(with Kassie Archer and Sergi Elizalde)
Given a function from a linearly ordered set to itself, we say that a permutation is an allowed pattern of if the relative order of the first n iterates of f beginning at some is given by . We give a characterization of the allowed patterns of signed shifts in terms of monotone runs of a certain transformation of , which completes and simplifies the original characterization given by Amigó. Signed shifts, which are generalizations of the shift map where some slopes are allowed to be negative, are particularly well-suited to a combinatorial analysis. In the special case where all the slopes are negative, we give an exact formula for the number of allowed patterns. Finally, we obtain a combinatorial derivation of the topological entropy of signed shifts.
Link: FPSAC Proceedings.
Patterns of Negative Shifts and Beta-Shifts
(with Sergi Elizalde)
Given a -shift is the transformation from the unit interval to itself that maps to the fractional part of . Permutations realized by the relative order of the elements in the orbits of these maps have been studied for positive integer values of and for real values >. In both cases, a combinatorial description of the smallest positive value of needed to realize a permutation is provided. In this paper we extend these results to the case of the negative , both in the integer and in the real case. Negative -shifts are related to digital expansions with negative real bases, studied by Ito and Sadahiro, and Liao and Steiner.