PID: a PDF-induced distance based on permutation cross-distribution entropy

DOI10.1007/S11071-019-05051-0zbMATH Open1430.62196OpenAlexW2950387220WikidataQ127713656 ScholiaQ127713656MaRDI QIDQ2296210FDOQ2296210

Authors: Jiayi He, Pengjian Shang, Yali Zhang 

Publication date: 17 February 2020

Published in: Nonlinear Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11071-019-05051-0

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zbMATH Keywords

financial time seriesdissimilarity measureprobability distribution functiondistribution entropy

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

Cites Work

• Fractional differencing
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
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• PARAMETER SELECTION FOR PERMUTATION ENTROPY MEASUREMENTS
• Comparison of hierarchical cluster analysis methods by cophenetic correlation
• Analysis of stock market indices with multidimensional scaling and wavelets
• Comparison of transfer entropy methods for financial time series

Cited In (3)

• NF-CECP: a novel approach to distinguish signals with different properties via modified Fisher information measure
• The Fisher-DisEn plane: a novel approach to distinguish different complex systems
• Analysis of time series in the cumulative residual entropy plane based on oscillation roughness exponent

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