Permutation entropy revisited
arXiv:1812.05075 · doi:10.1016/j.chaos.2018.12.039
Abstract
Time-series analysis in terms of ordinal patterns is revisited by introducing a generalized permutation entropy , which depends on two different window lengths: , implicitly defining the resolution of the underlying partition; , playing the role of an embedding dimension, analogously to standard nonlinear time-series analysis. The -dependence provides information on the structure of the corresponding invariant measure, while the -dependence helps determining the Kolmogorov-Sinai entropy. We finally investigate the structure of the partition with the help of principal component analysis, finding that, upon increasing , the single atoms become increasingly elongated.
6 pages; 6 figures