Ordinal pattern probabilities for symmetric random walks

Abstract

An ordinal pattern for a finite sequence of real numbers is a permutation that records the relative positions in the sequence. For random walks with steps drawn uniformly from $[-1,1]$, we show an ordinal pattern occurs with probability $\frac{|[1,w]|}{2^n n!}$, where $[1,w]$ is a weak order interval in the affine Weyl group $\widetilde{A}_n$. For random walks with steps drawn from a symmetric Laplace distribution, the probability is $\frac{1}{2^n \prod_{j=1}^n \mathrm{lev}(π)_j}$, where $\mathrm{lev}(π)_j$ measures how often $j$ occurs between consecutive values in $π$. Permutations whose consecutive values are at most two positions apart in $π$ are shown to occur with the same probability for any choice of symmetric continuous step distribution. For random walks with steps from a mean zero normal distribution, ordinal pattern probabilities are determined by a matrix whose $ij$-th entry measures how often $i$ and $j$ are between consecutive values.