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Comparing permutation entropy functions to detect structural changes in time series

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  • Cánovas, J.S.
  • García-Clemente, G.
  • Muñoz-Guillermo, M.

Abstract

Entropy can be taken as a measure of the complex dynamical behavior. In this paper, we consider different entropy functions and the permutation symbolic dynamics and we apply them to find structural changes in time series. We analyze what entropy functions are more suitable to show changes in simulated time series where the structural changes are know. Applications to seismic real data and economic data series are shown to illustrate how this type of tools can be used.

Suggested Citation

  • Cánovas, J.S. & García-Clemente, G. & Muñoz-Guillermo, M., 2018. "Comparing permutation entropy functions to detect structural changes in time series," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 507(C), pages 153-174.
    • Handle: RePEc:eee:phsmap:v:507:y:2018:i:c:p:153-174
    DOI: 10.1016/j.physa.2018.04.101
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    References listed on IDEAS

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    1. Frank, T.D. & Daffertshofer, A., 2000. "Exact time-dependent solutions of the Renyi Fokker–Planck equation and the Fokker–Planck equations related to the entropies proposed by Sharma and Mittal," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 285(3), pages 351-366.
    2. Telesca, Luciano & Lovallo, Michele & Mohamed, Abuo El-Ela Amin & ElGabry, Mohamed & El-hady, Sherif & Elenean, Kamal M. Abou & ElBary, Rafaat ElShafey Fat, 2012. "Informational analysis of seismic sequences by applying the Fisher Information Measure and the Shannon entropy: An application to the 2004–2010 seismicity of Aswan area (Egypt)," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 391(9), pages 2889-2897.
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