Influence of the signal to noise ratio for the estimation of Permutation Entropy

Francisco Traversaro, Walter Legnani and Francisco O. Redelico

Physica A: Statistical Mechanics and its Applications, 2020, vol. 553, issue C

Abstract: In this paper, the influence of signal to noise ratio in the estimation of Permutation Entropy was studied upon signals obtained by simulations of a chaotic deterministic system. Then, using a bootstrap scheme, we applied hypothesis tests to detect noise in a signal computing the Permutation Entropy. Similarly to recent publications, we found that as the content of noise increases (i.e. the signal to noise ratio decreases), three clearly different dynamics appear: dominant deterministic, deterministic noisy and dominant noisy. To discriminate the limits of these zones, another hypothesis test was applied. Finally, we also show that if a hypothesis test detects changes in the value of Permutation Entropy, it is due to changes in the actual dynamics of the system and not due to the presence of noise in the signal.

Keywords: Permutation Entropy; Hypothesis test (search for similar items in EconPapers)
Date: 2020
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:553:y:2020:i:c:s0378437120300029

DOI: 10.1016/j.physa.2020.124134

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