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

\(k\)-entropycomplexity-entropy curvesdistribution entropyfinancial time seriesFisher information measure

Mathematics Subject Classification ID

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

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Cited in

(8)

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

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