Modified multiscale entropy for short-term time series analysis

Multiscale entropy (MSE) is a prevalent algorithm used to measure the complexity of a time series. Because the coarse-graining procedure reduces the length of a time series, the conventional MSE algorithm applied to a short-term time series may yield an imprecise estimation of entropy or induce undefined entropy. To overcome this obstacle, the modified multiscale entropy (MMSE) was developed. The coarse-graining procedure was replaced with a moving-average procedure and a time delay was incorporated for constructing template vectors in calculating sample entropy. For conducting short-term time series analysis, this study shows that the MMSE algorithm is more reliable than the conventional MSE.     

Multiscale entropy analysis of complex physiologic time series

There has been considerable interest in quantifying the complexity of physiologic time series, such as heart rate. However, traditional algorithms indicate higher complexity for certain pathologic processes associated with random outputs than for healthy dynamics exhibiting long-range correlations. This paradox may be due to the fact that conventional algorithms fail to account for the multiple time scales inherent in healthy physiologic dynamics. We introduce a method to calculate multiscale entropy (MSE) for complex time series. We find that MSE robustly separates healthy and pathologic groups and consistently yields higher values for simulated long-range correlated noise compared to uncorrelated noise.     

DC-DC变换器的符号时间序列描述及模块熵分析

本文提出了一种采用符号时间序列和熵理论分析DC-DC变换器非线性行为的方法.该方法首先用离散时间序列描述非线性连续系统,然后将其转换为由简单字符构成的符号序列,再用信息学方法计算出该符号序列的模块熵,从而得到一种新的可量化的非线性动力学行为统计指标.文中以一阶电压反馈DCM和二阶电流反馈CCM Boost变换器为例进行研究.研究结果表明,模块熵这种粗粒化的统计分析方法,能够量化DC-DC变换器的倍周期分岔和混沌行为,且能够准确地确定混沌行为的发生,是一种尚未在DC-DC变换器中提出的简单、实用的分析方法. 关键词： 符号时间序列 符号动力学 模块熵 Lyapunov指数     

脉冲星脉冲轮廓累积的最小熵方法

获取脉冲星辐射信号累积轮廓的传统方法是先识别信号周期,再按周期对信号进行折叠累加,这种方法依赖于周期识别的准确性,对累积轮廓质量也无评价标准.本文分析了脉冲星累积轮廓和周期的强相关性,提出了周期未知时直接进行轮廓累积的最小熵方法,并对其进行证明,在此基础上,讨论了该方法在周期识别中的作用.利用仿真数据和RXTE卫星的实测数据实验验证了该方法的有效性. 关键词： 脉冲星 最小熵 累积轮廓 周期识别     

Cross-sample entropy of foreign exchange time series

The correlation of foreign exchange rates in currency markets is investigated based on the empirical data of DKK/USD, NOK/USD, CAD/USD, JPY/USD, KRW/USD, SGD/USD, THB/USD and TWD/USD for a period from 1995 to 2002. Cross-SampEn (cross-sample entropy) method is used to compare the returns of every two exchange rate time series to assess their degree of asynchrony. The calculation method of confidence interval of SampEn is extended and applied to cross-SampEn. The cross-SampEn and its confidence interval for every two of the exchange rate time series in periods 1995-1998 (before the Asian currency crisis) and 1999-2002 (after the Asian currency crisis) are calculated. The results show that the cross-SampEn of every two of these exchange rates becomes higher after the Asian currency crisis, indicating a higher asynchrony between the exchange rates. Especially for Singapore, Thailand and Taiwan, the cross-SampEn values after the Asian currency crisis are significantly higher than those before the Asian currency crisis. Comparison with the correlation coefficient shows that cross-SampEn is superior to describe the correlation between time series.     

Multiscale entropy based study of the pathological time series

This paper studies the multiscale entropy （MSE） of electrocardiogram＇s ST segment and compares the MSE results of ST segment with that of electrocardiogram in the first time. Electrocardiogram complexity changing characteristics has important clinical significance for early diagnosis. Study shows that the average MSE values and the varying scope fluctuation could be more effective to reveal the heart health status. Particularly the multiscale values varying scope fluctuation is a more sensitive parameter for early heart disease detection and has a clinical diagnostic significance.     

Permutation entropy: a natural complexity measure for time series

We introduce complexity parameters for time series based on comparison of neighboring values. The definition directly applies to arbitrary real-world data. For some well-known chaotic dynamical systems it is shown that our complexity behaves similar to Lyapunov exponents, and is particularly useful in the presence of dynamical or observational noise. The advantages of our method are its simplicity, extremely fast calculation, robustness, and invariance with respect to nonlinear monotonous transformations.     

Efficient use of correlation entropy for analysing time series data

The correlation dimension D ₂ and correlation entropy K ₂ are both important quantifiers in nonlinear time series analysis. However, use of D ₂ has been more common compared to K ₂ as a discriminating measure. One reason for this is that D ₂ is a static measure and can be easily evaluated from a time series. However, in many cases, especially those involving coloured noise, K ₂ is regarded as a more useful measure. Here we present an efficient algorithmic scheme to compute K ₂ directly from a time series data and show that K ₂ can be used as a more effective measure compared to D ₂ for analysing practical time series involving coloured noise.      

The application of the transfer entropy to gappy time series

The application of the transfer entropy to gappy symbolic time series is discussed. Although the transfer entropy can fail to correctly identify the drive-response relationship, it is able to robustly detect phase relationships. Hence, it might still be of use in applications requiring the detection of changes in these relationships.     

Scaling properties and entropy of long-range correlated time series

We calculate the Shannon entropy of a time series by using the probability density functions of the characteristic sizes of the long-range correlated clusters introduced in [A. Carbone, G. Castelli, H.E. Stanley, Phys. Rev. E 69 (2004) 026105]. We define three different measures of the entropy related, respectively, to the length, the duration and the area of the clusters. For all the three cases, the entropy increases as the logarithm of a power of the size with exponents equal to the fractal dimension of the cluster length, duration and area, respectively.     

Measuring time series regularity using nonlinear similarity-based sample entropy

Sampe Entropy (SampEn), a measure quantifying regularity and complexity, is believed to be an effective analyzing method of diverse settings that include both deterministic chaotic and stochastic processes, particularly operative in the analysis of physiological signals that involve relatively small amount of data. However, the similarity definition of vectors is based on Heaviside function, of which the boundary is discontinuous and hard, may cause some problems in the validity and accuracy of SampEn. Sigmoid function is a smoothed and continuous version of Heaviside function. To overcome the problems SampEn encountered, a modified SampEn (mSampEn) based on nonlinear Sigmoid function was proposed. The performance of mSampEn was tested on the independent identically distributed (i.i.d.) uniform random numbers, the MIX stochastic model, the Rossler map, and the Hennon map. The results showed that mSampEn was superior to SampEn in several aspects, including giving entropy definition in case of small parameters, better relative consistency, robust to noise, and more independence on record length when characterizing time series generated from either deterministic or stochastic system with different regularities.     

Detecting dynamical complexity changes in time series using the base-scale entropy

Timely detection of dynamical complexity changes in natural and man-made systems has deep scientific and practical meanings. We introduce a complexity measure for time series： the base-scale entropy. The definition directly applies to arbitrary real-word data. We illustrate our method on a practical speech signal and in a theoretical chaotic system. The results show that the simple and easily calculated measure of base-scale entropy can be effectively used to detect qualitative and quantitative dynamical changes.     

Fine-grained permutation entropy as a measure of natural complexity for time series

In a recent paper [2002 Phys. Rev. Lett. 88 174102], Bandt and Pompe propose permutation entropy (PE) as a natural complexity measure for arbitrary time series which may be stationary or nonstationary, deterministic or stochastic. Their method is based on a comparison of neighbouring values. This paper further develops PE, and proposes the concept of fine-grained PE (FGPE) defined by the order pattern and magnitude of the difference between neighbouring values. This measure excludes the case where vectors with a distinct appearance are mistakenly mapped onto the same permutation type, and consequently FGPE becomes more sensitive to the dynamical change of time series than does PE, according to our simulation and experimental results.     

一种预测混沌时间序列的模糊神经网络方法

给出了一种预测混沌时间序列的模糊神经网络及其学习方法，给出的方法能直接从数据中提取模糊规则，经过优化得到最佳模糊规则库，并利用神经网络的自学习功能修改隶属函数的参数和网络的权值，减少了规则的匹配过程，加快了推理速度，增强了网络的自适应能力. 使用该神经网络及其学习方法对Lorenz混沌时间序列进行了预测仿真研究，试验结果表明给出的预测工具和方法是有效的. 关键词： 模糊神经网络 模糊规则提取 混沌时间序列预测     

Language time series analysis

We use the detrended fluctuation analysis (DFA) and the Grassberger–Proccacia analysis (GP) methods in order to study language characteristics. Despite that we construct our signals using only word lengths or word frequencies, excluding in this way huge amount of information from language, the application of GP analysis indicates that linguistic signals may be considered as the manifestation of a complex system of high dimensionality, different from random signals or systems of low dimensionality such as the Earth climate. The DFA method is additionally able to distinguish a natural language signal from a computer code signal. This last result may be useful in the field of cryptography.     

Local order, entropy and predictability of financial time series

We consider time series of financial data as the Dow Jones Index with respect to the existence of local order. The basic idea is that in spite of the high stochasticity in average there might be special local situations where there local order exist and the predictability is considerably higher than in average. In order to check this assumption we discretise the time series and investigate the frequency of the continuation of definite words of length n first. We prove the existence of relatively long-range correlations under special conditions. The higher order Shannon entropies and the conditional entropies (dynamical entropies) are calculated, characteristic fluctuations are found. Instead of the dynamic entropies which yield mean values of the uncertainty/predictability we finally investigate the local values of the uncertainty/predictability and the distribution of these quantities. Received 19 January 2000     

Analysis of complex time series using refined composite multiscale entropy

Multiscale entropy (MSE) is an effective algorithm for measuring the complexity of a time series that has been applied in many fields successfully. However, MSE may yield an inaccurate estimation of entropy or induce undefined entropy because the coarse-graining procedure reduces the length of a time series considerably at large scales. Composite multiscale entropy (CMSE) was recently proposed to improve the accuracy of MSE, but it does not resolve undefined entropy. Here we propose a refined composite multiscale entropy (RCMSE) to improve CMSE. For short time series analyses, we demonstrate that RCMSE increases the accuracy of entropy estimation and reduces the probability of inducing undefined entropy.     

Detrended cross-correlation analysis: a new method for analyzing two nonstationary time series

Here we propose a new method, detrended cross-correlation analysis, which is a generalization of detrended fluctuation analysis and is based on detrended covariance. This method is designed to investigate power-law cross correlations between different simultaneously recorded time series in the presence of nonstationarity. We illustrate the method by selected examples from physics, physiology, and finance.     

Ordinal analysis of time series

In order to develop fast and robust methods for extracting qualitative information from non-linear time series, Bandt and Pompe have proposed to consider time series from the pure ordinal viewpoint. On the basis of counting ordinal patterns, which describe the up-and-down in a time series, they have introduced the concept of permutation entropy for quantifying the complexity of a system behind a time series. The permutation entropy only provides one detail of the ordinal structure of a time series. Here we present a method for extracting the whole ordinal information.