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Sub-sequence incidence analysis within series of Bernoulli trials: application in characterisation of time series dynamics

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  • Richard H. G. Jackson

Abstract

This paper presents a new and widely applicable nonparametric approach to the characterisation of time series dynamics. The approach involves analysis of the incidence of occurrence of patterns in the direction of movement of the series, and may readily be applied to time series data measured on any scale. The paper includes derivations of analytic forms for two (infinite) families of distributions under the null hypothesis of random behaviour, and of a useful analytic form for the generation of the moments of these distributions. The distributions are asymptotically normal, so allowing for straightforward application of the approach presented in the paper too long series of high frequency and/or extended time period data. Areas of application in finance and accounting are suggested.

Suggested Citation

  • Richard H. G. Jackson, 2019. "Sub-sequence incidence analysis within series of Bernoulli trials: application in characterisation of time series dynamics," The European Journal of Finance, Taylor & Francis Journals, vol. 25(17), pages 1730-1745, November.
    • Handle: RePEc:taf:eurjfi:v:25:y:2019:i:17:p:1730-1745
    DOI: 10.1080/1351847X.2019.1583117
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