stat_op_bp

Notedocblock

stat_op_bp(data, w; chart_choice, m=3, ljung_box=false)

Compute the Box-Pierce (BP) type test statistic for ordinal patterns, which aggregates the chart statistics over the delays d = 1, …, w.

• data: the time series.
• w::Int: maximal delay; the individual statistics for delays 1:w are aggregated.
• chart_choice: one of Shannon(), ShannonExtropy(), DistanceToWhiteNoise(), UpDownBalance(), Persistence(), RotationalAsymmetry(), UpDownScaling(). For Shannon and ShannonExtropy, the logarithm base must be larger than 1. The statistic does not depend on it.
• m::Int=3: length of the ordinal patterns.
• ljung_box::Bool=false: if true, use Ljung-Box (BL) weights (delay-specific numbers of patterns) instead of the constant Box-Pierce weight. Returns the aggregated test statistic. Critical values are provided by crit_val_op_bp.