Efficiently measuring complexity on the basis of real-world data (Q280651)

Summary: Permutation entropy, introduced by Bandt and Pompe, is a conceptually simple and well-interpretable measure of time series complexity. In this paper, we propose efficient methods for computing it and related ordinal-patterns-based characteristics. The methods are based on precomputing values of successive ordinal patterns of order \(d\), considering the fact that they are ``overlapped'' in \(d\) points, and on precomputing successive values of the permutation entropy related to ``overlapping'' successive time-windows. The proposed methods allow for measurement of the complexity of very large datasets in real-time.