Characterization of time series through information quantifiers

DOI10.1016/J.CHAOS.2019.109565MaRDI QIDQ2185137zbMATH OpenOpenAlexFDO

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

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)

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Cites work

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• Characterization of time series via Rényi complexity-entropy curves
• Discriminating image textures with the multiscale two-dimensional complexity-entropy causality plane
• Libor at crossroads: stochastic switching detection using information theory quantifiers
• Modified multiscale cross-sample entropy for complex time series
• Permutation entropy of fractional Brownian motion and fractional Gaussian noise
• Statistical mechanics and field theory: mathematical aspects. Proceedings of the International Conference on the Mathematical Aspects of Statistical Mechanics and Field Theory Held in Groningen, The Netherlands, August 26-30, 1985
• Use of the fractal dimension for the analysis of electroencephalographic time series

Cited in

(8)

• Estimating the active dimension of the dynamics in a time series based on an information criterion
• scientific article; zbMATH DE number 2016103 (Why is no real title available?)
• Characterization of time series via Rényi complexity-entropy curves
• On extracting probability distribution information from time series
• Generalized Shannon-Fisher index: an effective method to quantify the instability of multivariate time series
• Information quantity evaluation of nonlinear time series processes and applications
• 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

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