Permutation Jensen-Shannon distance: A versatile and fast symbolic tool for complex time series analysis

Abstract

The main motivation of this paper is to introduce the permutation Jensen-Shannon distance, a symbolic tool able to quantify the degree of similarity between two arbitrary time series. This quantifier results from the fusion of two concepts, the Jensen-Shannon divergence and the encoding scheme based on the sequential ordering of the elements in the data series. The versatility and robustness of this ordinal symbolic distance for characterizing and discriminating different dynamics are illustrated through several numerical and experimental applications. Results obtained allow us to be optimistic about its usefulness in the field of complex time series analysis. Moreover, thanks to its simplicity, low computational cost, wide applicability and less susceptibility to outliers and artifacts, this ordinal measure can efficiently handle large amounts of data and help to tackle the current big data challenges.

23 two-column pages, 30 figures, supplementary information; accepted for publication in Physical Review E

References in corpus (9)

• Recurrence Plots for the Analysis of Complex Systems
• From time series to complex networks: the visibility graph
• Detrended Cross-Correlation Analysis: A New Method for Analyzing Two Non-stationary Time Series
• Nonlinear time-series analysis revisited
• The length of time's arrow
• Characterizing Time Series via Complexity-Entropy Curves
• Model-free quantification of time-series predictability
• Monoparametric family of metrics derived from classical Jensen-Shannon divergence
• Symbolic dynamics techniques for complex systems: Application to share price dynamics

Cited by in corpus (8)

• Ordinal analysis of lexical patterns
• Quantifying Cryptocurrency Unpredictability: A Comprehensive Study of Complexity and Forecasting
• Markov-modulated model for landing flow dynamics: An ordinal analysis validation
• Quantifying deviations from Gaussianity with application to flight delays distributions
• Irreversibility of symbolic time series: a cautionary tale
• Including the magnitude variability of a signal into the ordinal pattern analysis
• Ordinal language of antipersistent binary walks
• Permutation-Based Distances for Groups and Group-Valued Time Series