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Contrasting stochasticity with chaos in a permutation Lempel–Ziv complexity — Shannon entropy plane
Physica A: Statistical Mechanics and its Applications ( IF 3.3 ) Pub Date : 2020-05-08 , DOI: 10.1016/j.physa.2020.124640
Diego M. Mateos , Steeve Zozor , Felipe Olivares

This paper aims at introducing the Lempel–Ziv permutation complexity vs. permutation entropy plane (EC-plane) as a tool to analyze time series with diverse dynamical nature. These two quantities use the Bandt and Pompe representation to quantify a continuous-state time series. The main strength of this approach lies in the fact that this plane combines two different perspectives to study a signal, one being purely statistic (the permutation entropy) and the other being algorithmic (the Lempel–Ziv complexity). The results allow us to conclude that the EC-plane constitutes an appropriate framework for: (i) characterizing non-linear chaotic maps, (ii) distinguishing deterministic from stochastic processes and (iii) to discriminate between fractional Brownian motion, fractional Gaussian noise and K-noise.



中文翻译:

排列Lempel-Ziv复杂度中的随机性与混沌的对比—香农熵平面

本文旨在介绍Lempel-Ziv置换复杂度置换熵平面(EC-plane)作为分析具有多种动力学性质的时间序列的工具。这两个量使用Bandt和Pompe表示来量化连续状态时间序列。这种方法的主要优势在于,该平面结合了两种不同的观点来研究信号,一种观点是纯粹的统计量(置换熵),另一种观点是算法的(Lempel-Ziv复杂度)。结果使我们得出结论,EC平面构成了以下方面的适当框架:(i)表征非线性混沌图,(ii)区分确定性与随机过程,以及(iii)区分分数布朗运动,分数高斯噪声和ķ-噪声。

更新日期:2020-05-08
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