Modified multiscale entropy for short-term time series analysis

Shuen-De Wu, Chiu-Wen Wu, Kung-Yen Lee and Shiou-Gwo Lin

Physica A: Statistical Mechanics and its Applications, 2013, vol. 392, issue 23, 5865-5873

Abstract: 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.

Keywords: Multiscale entropy (MSE); Short-term time series; Sample entropy (search for similar items in EconPapers)
Date: 2013
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Citations: View citations in EconPapers (8)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:392:y:2013:i:23:p:5865-5873

DOI: 10.1016/j.physa.2013.07.075

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