Entropy of Difference
Data Analysis, Statistics and Probability
2014-11-05 v2 Chaotic Dynamics
Abstract
Here, we propose a new tool to estimate the complexity of a time series: the entropy of difference (ED). The method is based solely on the sign of the difference between neighboring values in a time series. This makes it possible to describe the signal as efficiently as prior proposed parameters such as permutation entropy (PE) or modified permutation entropy (mPE), but (1) reduces the size of the sample that is necessary to estimate the parameter value, and (2) enables the use of the Kullback-Leibler divergence to estimate the distance between the time series data and random signals.
Cite
@article{arxiv.1411.0506,
title = {Entropy of Difference},
author = {Pasquale Nardone},
journal= {arXiv preprint arXiv:1411.0506},
year = {2014}
}
Comments
10 pages, 6 figures