Complexity analysis of time series based on generalized fractional order refined composite multiscale dispersion entropy

DOI10.1142/S0218127420502119MaRDI QIDQ5138340zbMATH OpenOpenAlexFDO

Authors Yu Wang, Pengjian Shang

Publication date 3 December 2020

Published in International Journal of Bifurcation and Chaos in Applied Sciences and Engineering (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/s0218127420502119

zbMATH Keywords

chaotic sequencegeneralized fractional order multiscale dispersion entropy (GMDE)generalized fractional order refined composite multiscale dispersion entropy (GRCMDE)stock markettime series complexity

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Financial markets (91G15)

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Cites work

• A Mathematical Theory of Communication
• Analysis of complex time series using refined composite multiscale entropy
• Approximating fractional derivatives through the generalized mean
• Cumulative Residual Entropy: A New Measure of Information
• Entropies based on fractional calculus
• Entropy analysis of integer and fractional dynamical systems
• Fractional dynamics of a system with particles subjected to impacts
• scientific article; zbMATH DE number 5666631 (Why is no real title available?)
• Logical entropy of dynamical systems
• Time series analysis using composite multiscale entropy

Cited in

(8)

• Complexity analysis of time series based on generalized fractional order cumulative residual distribution entropy
• Refined two-index entropy and multiscale analysis for complex system
• Multiscale fractional-order approximate entropy analysis of financial time series based on the cumulative distribution matrix
• A novel R/S fractal analysis and wavelet entropy characterization approach for robust forecasting based on self-similar time series modeling
• Multi-Moment Multiscale Local Sample Entropy and Its Application to Complex Physiological Time Series
• Adaptive fractional-order unscented Kalman filter with unknown noise statistics
• A novel method to measure static and dynamic complexity of time series based on visualization curves
• Extended dispersion entropy and its multiscale versions: methodology and application

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