Characterization of time series through information quantifiers

DOI10.1016/J.CHAOS.2019.109565zbMATH Open1434.91047OpenAlexW2994902634MaRDI QIDQ2185137FDOQ2185137

Authors: Zhengli Liu, Pengjian Shang, Yuanyuan Wang 

Publication date: 4 June 2020

Published in: Chaos, Solitons and Fractals (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.chaos.2019.109565

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zbMATH Keywords

financial time seriesFisher information measurecomplexity-entropy curvesdistribution entropy\(k\)-entropy

Mathematics Subject Classification ID

Economic time series analysis (91B84) Measures of information, entropy (94A17)

Cites Work

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• Modified multiscale cross-sample entropy for complex time series
• Discriminating image textures with the multiscale two-dimensional complexity-entropy causality plane

Cited In (9)

• On extracting probability distribution information from time series
• Generalized Shannon-Fisher index: an effective method to quantify the instability of multivariate time series
• Title not available (Why is that?)
• Binary versus non-binary information in real time series: empirical results and maximum-entropy matrix models
• Analysis of Shannon-Fisher information plane in time series based on information entropy
• Information quantity evaluation of nonlinear time series processes and applications
• Estimating the active dimension of the dynamics in a time series based on an information criterion
• Unsupervised Model-Free Representation Learning
• Characterization of time series via Rényi complexity-entropy curves

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