Analysis of time series using a new entropy plane based on past entropy

Guyue Qin and Pengjian Shang

Chaos, Solitons & Fractals, 2021, vol. 152, issue C

Abstract: Complexity is an important feature of complex time series. This paper proposes a new entropy plane using past Tsallis entropy and past Re´nyi entropy by weighted permutation pattern (PTEWP and PREWP), to quantify the complexity of time series. Through simulated data and actual data, we have verified the effectiveness of the entropy plane method. The results show that the new entropy plane can be used as an effective tool to distinguish financial markets.

Keywords: Complexity; Entropy plane; Past entropy; Weighted permutation pattern; Financial time series (search for similar items in EconPapers)
Date: 2021
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:chsofr:v:152:y:2021:i:c:s0960077921008316

DOI: 10.1016/j.chaos.2021.111477

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