Refined scale-dependent permutation entropy to analyze systems complexity

Shuen-De Wu, Chiu-Wen Wu and Anne Humeau-Heurtier

Physica A: Statistical Mechanics and its Applications, 2016, vol. 450, issue C, 454-461

Abstract: Multiscale entropy (MSE) has become a prevailing method to quantify the complexity of systems. Unfortunately, MSE has a temporal complexity in O(N2), which is unrealistic for long time series. Moreover, MSE relies on the sample entropy computation which is length-dependent and which leads to large variance and possible undefined entropy values for short time series. Here, we propose and introduce a new multiscale complexity measure, the refined scale-dependent permutation entropy (RSDPE). Through the processing of different kinds of synthetic data and real signals, we show that RSDPE has a behavior close to the one of MSE. Furthermore, RSDPE has a temporal complexity in O(N). Finally, RSDPE has the advantage of being much less length-dependent than MSE. From all this, we conclude that RSDPE over-performs MSE in terms of computational cost and computational accuracy.

Keywords: Complexity; Nonlinear dynamics; Entropy; Permutation entropy; Sample entropy; Multiscale entropy (search for similar items in EconPapers)
Date: 2016
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:450:y:2016:i:c:p:454-461

DOI: 10.1016/j.physa.2016.01.044

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