Artículo
Statistical properties of the entropy from ordinal patterns
Chagas, Eduarda; Frery, Alejandro César; Gambini, Juliana; Lucini, María Magdalena
; Ramos, Heitor; Rey, Andrea Alejandra
Fecha de publicación:
11/2022
Editorial:
American Institute of Physics
Revista:
Chaos
ISSN:
1054-1500
Idioma:
Inglés
Tipo de recurso:
Artículo publicado
Clasificación temática:
Resumen
The ultimate purpose of the statistical analysis of ordinal patterns is to characterize the distribution of the features they induce. In particular, knowing the joint distribution of the pair entropy-statistical complexity for a large class of time series models would allow statistical tests that are unavailable to date. Working in this direction, we characterize the asymptotic distribution of the empirical Shannon's entropy for any model under which the true normalized entropy is neither zero nor one. We obtain the asymptotic distribution from the central limit theorem (assuming large time series), the multivariate delta method, and a third-order correction of its mean value. We discuss the applicability of other results (exact, first-, and second-order corrections) regarding their accuracy and numerical stability. Within a general framework for building test statistics about Shannon's entropy, we present a bilateral test that verifies if there is enough evidence to reject the hypothesis that two signals produce ordinal patterns with the same Shannon's entropy. We applied this bilateral test to the daily maximum temperature time series from three cities (Dublin, Edinburgh, and Miami) and obtained sensible results.
Palabras clave:
ORDINAL PATTERNS
,
SHANNON ENTROPY
,
TIME SERIES
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Articulos(CCT - NORDESTE)
Articulos de CTRO.CIENTIFICO TECNOL.CONICET - NORDESTE
Articulos de CTRO.CIENTIFICO TECNOL.CONICET - NORDESTE
Citación
Chagas, Eduarda; Frery, Alejandro César; Gambini, Juliana; Lucini, María Magdalena; Ramos, Heitor; et al.; Statistical properties of the entropy from ordinal patterns; American Institute of Physics; Chaos; 32; 11; 11-2022; 1-14
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