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

DOI10.1007/S11071-019-05051-0MaRDI QIDQ2296210zbMATH OpenOpenAlexWikidataFDO

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

zbMATH Keywords

dissimilarity measuredistribution entropyfinancial time seriesprobability distribution function

Mathematics Subject Classification ID

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

Recommendations

• Cumulative Tsallis entropy based on power spectrum of financial time series
• Fuzzy permutation entropy derived from a novel distance between segments of time series
• Clustering of discretely observed diffusion processes
• CID: an efficient complexity-invariant distance for time series
• Multidimensional scaling analysis of financial time series based on modified cross-sample entropy methods

Cites work

• A two-dimensional mapping with a strange attractor
• AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
• Analysis of stock market indices with multidimensional scaling and wavelets
• Comparison of hierarchical cluster analysis methods by cophenetic correlation
• Comparison of transfer entropy methods for financial time series
• Dynamic programming algorithm optimization for spoken word recognition
• Entropy-based algorithms for best basis selection
• Fractional differencing
• scientific article; zbMATH DE number 3810550 (Why is no real title available?)
• scientific article; zbMATH DE number 1820665 (Why is no real title available?)
• Introduction to Applied Nonlinear Dynamical Systems and Chaos
• Joint state and parameter robust estimation of stochastic nonlinear systems
• PARAMETER SELECTION FOR PERMUTATION ENTROPY MEASUREMENTS

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

This page was built for publication: PID: a PDF-induced distance based on permutation cross-distribution entropy

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2296210)