publication . Article . Other literature type . 2002

Permutation Entropy : A Natural Complexity Measure for Time Series

Christoph Bandt; Pompe, B.;
  • Published: 11 Apr 2002
We introduce complexity parameters for time series based on comparison of neighboring values. The definition directly applies to arbitrary real-world data. For some well-known chaotic dynamical systems it is shown that our complexity behaves similar to Lyapunov exponents, and is particularly useful in the presence of dynamical or observational noise. The advantages of our method are its simplicity, extremely fast calculation, robustness, and invariance with respect to nonlinear monotonous transformations.
free text keywords: Permutation entropy, Robustness (computer science), Invariant (physics), Information complexity, Nonlinear system, Condensed matter physics, Observational noise, Physics, Lyapunov exponent, symbols.namesake, symbols, Recurrence quantification analysis, Statistical physics
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