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Analysis of time series in the cumulative residual entropy plane based on oscillation roughness exponent
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Analysis of time series in the cumulative residual entropy plane based on oscillation roughness exponent
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Analysis of time series in the cumulative residual entropy plane based on oscillation roughness exponent
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Journal Article
Analysis of time series in the cumulative residual entropy plane based on oscillation roughness exponent
2020
Overview
In this work, we propose the cumulative residual entropy (CRE) plane and CRE curve based on the weighted-multiscale cumulative residual Rényi/Tsallis permutation entropy and oscillation roughness exponent to analyze complex dynamic systems. The oscillation roughness exponent method and the cumulative residual distribution theorem adopted in our proposed methods are two core theories to depict more detailed information of complex dynamic systems in a more efficient way by reducing information loss and capture the statistics of the related time series’ roughness. Trials are operated on the logistic map model as numerical experiments, and we discover that our methods are capable of discriminating different types of complex data with high accuracy. Compared with the original methods, our methods are more superior in extracting more subtle details to distinguish different dynamic systems. In the experiments with the financial stocks, our methods are still found to be more reasonable in discriminating stock indices from different parts of the world by making comparisons with original methods.
Publisher
Springer Netherlands,Springer Nature B.V
Subject
