Ordinal Patterns in Long-Range Dependent Time Series
We analyze the ordinal structure of long-range dependent time series. To this end, we use so called ordinal patterns which describe the relative position of consecutive data points. We provide two estimators for the probabilities of ordinal patterns and prove limit theorems in different settings, namely stationarity and (less restrictive) stationary increments. In the second setting, we encounter a Rosenblatt distribution in the limit. We prove more general limit theorems for functions with Hermite rank 1 and 2. We derive the limit distribution for an estimation of the Hurst parameter $H$ if it is higher than 3/4. Thus, our theorems complement results for lower values of $H$ which can be found in the literature. Finally, we provide some simulations that illustrate our theoretical results.