Permutation complexity and coupling measures in hidden Markov models

DOI10.3390/E15093910zbMATH Open1334.94043arXiv1204.1821OpenAlexW3099043276MaRDI QIDQ280589FDOQ280589

Authors: Taichi Haruna, Kohei Nakajima 

Publication date: 10 May 2016

Published in: Entropy (Search for Journal in Brave)

Abstract: In [Haruna, T. and Nakajima, K., 2011. Physica D 240, 1370-1377], the authors introduced the duality between values (words) and orderings (permutations) as a basis to discuss the relationship between information theoretic measures for finite-alphabet stationary stochastic processes and their permutation analogues. It has been used to give a simple proof of the equality between the entropy rate and the permutation entropy rate for any finite-alphabet stationary stochastic process and show some results on the excess entropy and the transfer entropy for finite-alphabet stationary ergodic Markov processes. In this paper, we extend our previous results to hidden Markov models and show the equalities between various information theoretic complexity and coupling measures and their permutation analogues. In particular, we show the following two results within the realm of hidden Markov models with ergodic internal processes: the two permutation analogues of the transfer entropy, the symbolic transfer entropy and the transfer entropy on rank vectors, are both equivalent to the transfer entropy if they are considered as the rates, and the directed information theory can be captured by the permutation entropy approach.

Full work available at URL: https://arxiv.org/abs/1204.1821

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zbMATH Keywords

dualitypermutation entropydirected informationexcess entropytransfer entropy

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Measures of information, entropy (94A17) Stationary stochastic processes (60G10)

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Cited In (4)

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