Characterization of autoregressive processes using entropic quantifiers

Francisco Traversaro and Francisco O. Redelico

Physica A: Statistical Mechanics and its Applications, 2018, vol. 490, issue C, 13-23

Abstract: The aim of the contribution is to introduce a novel information plane, the causal-amplitude informational plane. As previous works seems to indicate, Bandt and Pompe methodology for estimating entropy does not allow to distinguish between probability distributions which could be fundamental for simulation or for probability analysis purposes. Once a time series is identified as stochastic by the causal complexity-entropy informational plane, the novel causal-amplitude gives a deeper understanding of the time series, quantifying both, the autocorrelation strength and the probability distribution of the data extracted from the generating processes. Two examples are presented, one from climate change model and the other from financial markets.

Keywords: Permutation entropy; Time series analysis (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (1)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:490:y:2018:i:c:p:13-23

DOI: 10.1016/j.physa.2017.07.025

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