appendix

The objective of this appendix is to describe the mechanics of information recovery from dynamic econometric models. All source code for our paper is open and written in Clojure, a new dialect of Lisp. This appendix will describe the estimation procedures through detailed documentation of the code.

Consider a time series of length T. Within the full time series there will be T - D + 1 sub-blocks of length D. The following illustration represents the D! ordinal patterns for sub-blocks when D = 3:

Note that the patterns do not reflect the values within the sub-blocks, but rather the ordinal relationships between the values in the sub-blocks. The permutation entropy method relies on the ordinal sequencing of sub-blocks, and the subsequent counts of the ordinal sub-sequences. The frequencies of sub-sequences reveal something about the dynamics of the time series. Consider an N length series, independently and identically distributed standard normal. The following is a simple plot of a series with N = 100.