An Excess Entropy Approach to Classify Long-Term and Short-Term Memory Stationary Time Series

Xuyan Xiang () and Jieming Zhou
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Xuyan Xiang: School of Mathematics and Physics Science, Hunan University of Arts and Science, Changde 415000, China
Jieming Zhou: College of Mathematics and Statistics, Hunan Normal University, Changsha 410081, China

Mathematics, 2023, vol. 11, issue 11, 1-16

Abstract: Long-term memory behavior is one of the most important phenomena that has appeared in the time series analysis. Different from most definitions of second-order properties, an excess entropy approach is developed for stationary time series to classify long-term and short-term memory. A stationary sequence with finite block entropy is long-term memory if its excess entropy is infinite. The simulation results are graphically demonstrated after some theoretical results are simply presented by various stochastic sequences. Such an approach has advantages over the traditional ways that the excess entropy of stationary sequence with finite block entropy is invariant under instantaneous one-to-one transformation, and that it only requires very weak moment conditions rather than second-order moment conditions and thus can be applied to distinguish the LTM behavior of stationary sequences with unbounded second moment (e.g., heavy tail distribution). Finally, several applications on real data are exhibited.

Keywords: block entropy; mutual information; excess entropy; stationary time series; long-term memory (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Date: 2023
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