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arXiv · 2207.01169

Generalized Weighted Permutation Entropy

Darko Stosic·Dusan Stosic·Tatijana Stosic·Borko Stosic
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Abstract

A novel heuristic approach is proposed here for time series data analysis, dubbed Generalized weighted permutation entropy, which amalgamates and generalizes beyond their original scope two well established data analysis methods: Permutation entropy, and Weighted permutation entropy. The method introduces a scaling parameter to discern the disorder and complexity of ordinal patterns with small and large fluctuations. Using this scaling parameter, the complexity-entropy causality plane is generalized to the complexity-entropy-scale causality box. Simulations conducted on synthetic series generated by stochastic, chaotic, and random processes, as well as real world data, are shown to produce unique signatures in this three dimensional representation.

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Darko Stosic, Dusan Stosic, Tatijana Stosic, Borko Stosic. 2022-07-04. Generalized Weighted Permutation Entropy. https://doi.org/10.1063/5.0107427

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