Studying the impact of fluctuations, spikes and rare events in time series through a wavelet entropy predictability measure

DOI10.1016/J.PHYSA.2024.129720MaRDI QIDQ6554849zbMATH OpenFDO

Authors Loretta Mastroeni, Alessandro Mazzoccoli, Pierluigi Vellucci

Publication date 13 June 2024

Published in Physica A (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.PHYSA.2024.129720

zbMATH Keywords

entropypredictabilitytime serieswavelet

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

• An introduction to frames and Riesz bases
• Application of wavelet entropy to predict atrial fibrillation progression from the surface ECG
• Deep learning with long short-term memory networks for financial market predictions
• Forecasting at Scale
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• Mathematical model for the output signal's energy of an ideal DAC in the presence of clock jitter
• Rényi Divergence and Kullback-Leibler Divergence
• Some properties of Rényi entropy and Rényi entropy rate
• Stability results for Gabor frames and the p-order hold models
• Ten Lectures on Wavelets
• Why the Shannon and Hartley entropies are ‘natural’

Cited in

(1)

• Refining Heisenberg's principle: a greedy approximation of step functions with triangular waveform dictionaries

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