Fine-grained permutation entropy as a measure of natural complexity for time series |
| |
Authors: | Liu Xiao-Feng and Wang Yue |
| |
Institution: | The Key Laboratory of Robot and Intelligent Technology of Shandong Province, and College of Information and Electrical Engineering, Shandong University of Science and Technology, Qingdao 266510, China; Institute of Artificial Intelligence and Robot, Xi'an Jiaotong University, Xi'an 710049, China |
| |
Abstract: | 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. |
| |
Keywords: | complexity entropy dynamical change fine-grained symbolization |
本文献已被 维普 等数据库收录! |
| 点击此处可从《中国物理 B》浏览原始摘要信息 |
| 点击此处可从《中国物理 B》下载免费的PDF全文 |
|