Analysis of time series using a new entropy plane based on past entropy

被引：1
|
作者：
Qin, Guyue [1 ]
Shang, Pengjian [1 ]
机构：
[1] Beijing Jiaotong Univ, Sch Sci, Dept Math, Beijing 100044, Peoples R China
来源：
CHAOS SOLITONS & FRACTALS | 2021年 / 152卷
基金：
中国国家自然科学基金;
关键词：
Complexity; Entropy plane; Past entropy; Weighted permutation pattern; Financial time series; APPROXIMATE ENTROPY; PERMUTATION ENTROPY; RESIDUAL ENTROPY; CHAOTIC STANDARD; SHANNON;
D O I：
10.1016/j.chaos.2021.111477
中图分类号：
O1 [数学];
学科分类号：
0701 ; 070101 ;
摘要：
Complexity is an important feature of complex time series. This paper proposes a new entropy plane using past Tsallis entropy and past R e ' nyi entropy by weighted permutation pattern (PTEWP and PREWP), to quantify the complexity of time series. Through simulated data and actual data, we have verified the effectiveness of the entropy plane method. The results show that the new entropy plane can be used as an effective tool to distinguish financial markets. (c) 2021 Elsevier Ltd. All rights reserved.
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页数：14
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