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An Excess Entropy Approach to Classify Long-Term and Short-Term Memory Stationary Time Series

Author

Listed:
  • Xuyan Xiang

    (School of Mathematics and Physics Science, Hunan University of Arts and Science, Changde 415000, China
    College of Mathematics and Statistics, Hunan Normal University, Changsha 410081, China)

  • Jieming Zhou

    (College of Mathematics and Statistics, Hunan Normal University, Changsha 410081, China)

Abstract

Long-term memory behavior is one of the most important phenomena that has appeared in the time series analysis. Different from most definitions of second-order properties, an excess entropy approach is developed for stationary time series to classify long-term and short-term memory. A stationary sequence with finite block entropy is long-term memory if its excess entropy is infinite. The simulation results are graphically demonstrated after some theoretical results are simply presented by various stochastic sequences. Such an approach has advantages over the traditional ways that the excess entropy of stationary sequence with finite block entropy is invariant under instantaneous one-to-one transformation, and that it only requires very weak moment conditions rather than second-order moment conditions and thus can be applied to distinguish the LTM behavior of stationary sequences with unbounded second moment (e.g., heavy tail distribution). Finally, several applications on real data are exhibited.

Suggested Citation

  • Xuyan Xiang & Jieming Zhou, 2023. "An Excess Entropy Approach to Classify Long-Term and Short-Term Memory Stationary Time Series," Mathematics, MDPI, vol. 11(11), pages 1-16, May.
    • Handle: RePEc:gam:jmathe:v:11:y:2023:i:11:p:2448-:d:1155583
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    References listed on IDEAS

    as
    1. Shelton Peiris & Richard Hunt, 2023. "Revisiting the Autocorrelation of Long Memory Time Series Models," Mathematics, MDPI, vol. 11(4), pages 1-8, February.
    2. Lei M. Li, 2006. "Some Notes on Mutual Information Between Past and Future," Journal of Time Series Analysis, Wiley Blackwell, vol. 27(2), pages 309-322, March.
    3. Cheng Zhao & Ping Hu & Xiaohui Liu & Xuefeng Lan & Haiming Zhang, 2023. "Stock Market Analysis Using Time Series Relational Models for Stock Price Prediction," Mathematics, MDPI, vol. 11(5), pages 1-13, February.
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