摘要
In a recent paper [2002 Phys. Rev. Lett. 88 174102], Bandt and Pompe propose permutation entropy （PE） as a natural complexity measure for arbitrary time series which may be stationary or nonstationary,deterministic or stochastic.Their method is based on a comparison of neighbouring values.This paper further develops PE,and proposes the concept of fine-grained PE （FGPE） defined by the order pattern and magnitude of the difference between neighbouring values. This measure excludes the case where vectors with a distinct appearance are mistakenly mapped onto the same permutation type,and consequently FGPE becomes more sensitive to the dynamical change of time series than does PE,according to our simulation and experimental results.
In a recent paper [2002 Phys. Rev. Lett. 88 174102], Bandt and Pompe propose permutation entropy （PE） as a natural complexity measure for arbitrary time series which may be stationary or nonstationary,deterministic or stochastic.Their method is based on a comparison of neighbouring values.This paper further develops PE,and proposes the concept of fine-grained PE （FGPE） defined by the order pattern and magnitude of the difference between neighbouring values. This measure excludes the case where vectors with a distinct appearance are mistakenly mapped onto the same permutation type,and consequently FGPE becomes more sensitive to the dynamical change of time series than does PE,according to our simulation and experimental results.
基金
Project supported by the National High Technology Research and Development Program of China (Grant No 2007AA04Z238)
the Qingdao Foundation for Development of Science and Technology,China (Grant No 06-2-2-10-JCH)
