PENTROPY: GAUSS module to compute Permutation Entropy point estimates of a time series

Erica Clower and Miguel Henry ()
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Erica Clower: Aptech Systems

Statistical Software Components from Boston College Department of Economics

Abstract: pentropy computes Bandt and Pompe (2002) Permutation Entropy point estimates of a time series by capturing the order relations between values of a time series and extracting a probability distribution of the ordinal patterns. pentropy also computes the normalized Permutation Entropy and allows change the embedding dimension, D, and time delay, tau, parameters. pentropy uses dynamic arguments introduced by GAUSS in GAUSS 15. The file dynargs.dec is included in order to implement the dynamic arguments and can be found in your GAUSS home directory. To handle equal values in a given time series pentropy provides three methods: adding white noise with the strength of the stochastic term being smaller than the smallest distance between values (“noise”), the values get the same rank number within the regarded sequence (“equal”), and the ranks of these values are determined in accordance to their order in the sequence (“order”). A plot of the relative frequencies of admissible permutation patterns-ordinal relations is also provided.

Language: GAUSS
Requires: GAUSS version 15
Keywords: permutation entropy; time series (search for similar items in EconPapers)
Date: 2019-01-27
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Citations: View citations in EconPapers (1)

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http://fmwww.bc.edu/repec/bocode/p/pentropy_single_final.gss program code (text/plain)

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