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Facing Non-Stationary Conditions with a New Indicator of Entropy Increase: The Cassandra Algorithm

P. Allegrini·P. Grigolini·P. Hamilton·L. Palatella·G. Raffaelli·M. Virgilio
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Abstract

We address the problem of detecting non-stationary effects in time series (in particular fractal time series) by means of the Diffusion Entropy Method (DEM). This means that the experimental sequence under study, of size $N$, is explored with a window of size $L << N$. The DEM makes a wise use of the statistical information available and, consequently, in spite of the modest size of the window used, does succeed in revealing local statistical properties, and it shows how they change upon moving the windows along the experimental sequence. The method is expected to work also to predict catastrophic events before their occurrence.

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P. Allegrini, P. Grigolini, P. Hamilton, L. Palatella, G. Raffaelli, M. Virgilio. 2001-11-13. Facing Non-Stationary Conditions with a New Indicator of Entropy Increase: The Cassandra Algorithm. https://doi.org/10.1142/9789812777720_0015

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