Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications

Autores
Rey, Andrea Alejandra; Frery, Alejandro C.; Gambini, Juliana; Lucini, María Magdalena
Año de publicación
2024
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
We present the asymptotic distribution of the Rényi and Tsallis/Havrda–Charvát entropies and the Fisher information measure of ordinal patterns embedding their serial correlation. We study the convergence behavior of the asymptotic variance for some types of dynamics and the permutation entropy to the limit distribution. These results lead to tests for comparing the underlying dynamics of two time series. We apply these tests to discriminate uniform white noise, logistic maps with Gaussian noise, fractional Brownian motion, and noise, with . We also applied these tests to cryptocurrency open prices data, with favorable results. We provide the R code that implements the functions.
Fil: Rey, Andrea Alejandra. Universidad Nacional de Hurlingham.; Argentina. Universidad Tecnológica Nacional. Facultad Regional Buenos Aires; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Frery, Alejandro C.. Victoria University Of Wellington; Nueva Zelanda
Fil: Gambini, Juliana. Universidad Nacional de Hurlingham.; Argentina. Universidad Tecnológica Nacional. Facultad Regional Buenos Aires; Argentina
Fil: Lucini, María Magdalena. Universidad Nacional del Nordeste. Facultad de Ciencias Exactas y Naturales y Agrimensura; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Nordeste; Argentina
Materia
ORDINAL PATTERNS
SHANNON ENTROPY
RENY ENTROPY
TSALLIS ENTROPY
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/247748
Acceder
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network_acronym_str CONICETDig
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network_name_str CONICET Digital (CONICET)
spelling Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applicationsRey, Andrea AlejandraFrery, Alejandro C.Gambini, JulianaLucini, María MagdalenaORDINAL PATTERNSSHANNON ENTROPYRENY ENTROPYTSALLIS ENTROPYhttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1We present the asymptotic distribution of the Rényi and Tsallis/Havrda–Charvát entropies and the Fisher information measure of ordinal patterns embedding their serial correlation. We study the convergence behavior of the asymptotic variance for some types of dynamics and the permutation entropy to the limit distribution. These results lead to tests for comparing the underlying dynamics of two time series. We apply these tests to discriminate uniform white noise, logistic maps with Gaussian noise, fractional Brownian motion, and noise, with . We also applied these tests to cryptocurrency open prices data, with favorable results. We provide the R code that implements the functions.Fil: Rey, Andrea Alejandra. Universidad Nacional de Hurlingham.; Argentina. Universidad Tecnológica Nacional. Facultad Regional Buenos Aires; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaFil: Frery, Alejandro C.. Victoria University Of Wellington; Nueva ZelandaFil: Gambini, Juliana. Universidad Nacional de Hurlingham.; Argentina. Universidad Tecnológica Nacional. Facultad Regional Buenos Aires; ArgentinaFil: Lucini, María Magdalena. Universidad Nacional del Nordeste. Facultad de Ciencias Exactas y Naturales y Agrimensura; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Nordeste; ArgentinaPergamon-Elsevier Science Ltd2024-11info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/247748Rey, Andrea Alejandra; Frery, Alejandro C.; Gambini, Juliana; Lucini, María Magdalena; Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications; Pergamon-Elsevier Science Ltd; Chaos, Solitons And Fractals; 188; 11-2024; 1-130960-0779CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/https://linkinghub.elsevier.com/retrieve/pii/S0960077924010336info:eu-repo/semantics/altIdentifier/doi/10.1016/j.chaos.2024.115481info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T09:39:15Zoai:ri.conicet.gov.ar:11336/247748instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 09:39:15.405CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications
title Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications
spellingShingle Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications
Rey, Andrea Alejandra
ORDINAL PATTERNS
SHANNON ENTROPY
RENY ENTROPY
TSALLIS ENTROPY
title_short Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications
title_full Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications
title_fullStr Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications
title_full_unstemmed Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications
title_sort Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications
dc.creator.none.fl_str_mv Rey, Andrea Alejandra
Frery, Alejandro C.
Gambini, Juliana
Lucini, María Magdalena
author Rey, Andrea Alejandra
author_facet Rey, Andrea Alejandra
Frery, Alejandro C.
Gambini, Juliana
Lucini, María Magdalena
author_role author
author2 Frery, Alejandro C.
Gambini, Juliana
Lucini, María Magdalena
author2_role author
author
author
dc.subject.none.fl_str_mv ORDINAL PATTERNS
SHANNON ENTROPY
RENY ENTROPY
TSALLIS ENTROPY
topic ORDINAL PATTERNS
SHANNON ENTROPY
RENY ENTROPY
TSALLIS ENTROPY
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv We present the asymptotic distribution of the Rényi and Tsallis/Havrda–Charvát entropies and the Fisher information measure of ordinal patterns embedding their serial correlation. We study the convergence behavior of the asymptotic variance for some types of dynamics and the permutation entropy to the limit distribution. These results lead to tests for comparing the underlying dynamics of two time series. We apply these tests to discriminate uniform white noise, logistic maps with Gaussian noise, fractional Brownian motion, and noise, with . We also applied these tests to cryptocurrency open prices data, with favorable results. We provide the R code that implements the functions.
Fil: Rey, Andrea Alejandra. Universidad Nacional de Hurlingham.; Argentina. Universidad Tecnológica Nacional. Facultad Regional Buenos Aires; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Fil: Frery, Alejandro C.. Victoria University Of Wellington; Nueva Zelanda
Fil: Gambini, Juliana. Universidad Nacional de Hurlingham.; Argentina. Universidad Tecnológica Nacional. Facultad Regional Buenos Aires; Argentina
Fil: Lucini, María Magdalena. Universidad Nacional del Nordeste. Facultad de Ciencias Exactas y Naturales y Agrimensura; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Nordeste; Argentina
description We present the asymptotic distribution of the Rényi and Tsallis/Havrda–Charvát entropies and the Fisher information measure of ordinal patterns embedding their serial correlation. We study the convergence behavior of the asymptotic variance for some types of dynamics and the permutation entropy to the limit distribution. These results lead to tests for comparing the underlying dynamics of two time series. We apply these tests to discriminate uniform white noise, logistic maps with Gaussian noise, fractional Brownian motion, and noise, with . We also applied these tests to cryptocurrency open prices data, with favorable results. We provide the R code that implements the functions.
publishDate 2024
dc.date.none.fl_str_mv 2024-11
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/247748
Rey, Andrea Alejandra; Frery, Alejandro C.; Gambini, Juliana; Lucini, María Magdalena; Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications; Pergamon-Elsevier Science Ltd; Chaos, Solitons And Fractals; 188; 11-2024; 1-13
0960-0779
CONICET Digital
CONICET
url http://hdl.handle.net/11336/247748
identifier_str_mv Rey, Andrea Alejandra; Frery, Alejandro C.; Gambini, Juliana; Lucini, María Magdalena; Asymptotic distribution of entropies and Fisher information measure of ordinal patterns with applications; Pergamon-Elsevier Science Ltd; Chaos, Solitons And Fractals; 188; 11-2024; 1-13
0960-0779
CONICET Digital
CONICET
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/url/https://linkinghub.elsevier.com/retrieve/pii/S0960077924010336
info:eu-repo/semantics/altIdentifier/doi/10.1016/j.chaos.2024.115481
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Pergamon-Elsevier Science Ltd
publisher.none.fl_str_mv Pergamon-Elsevier Science Ltd
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.070432

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