Characterization of autoregressive processes using entropic quantifiers

Traversaro Varela, Francisco; Redelico, Francisco

artículo de publicación periódica.page.titleprefix
Characterization of autoregressive processes using entropic quantifiers

dc.contributor.author	Traversaro Varela, Francisco
dc.contributor.author	Redelico, Francisco
dc.date.accessioned	2019-07-11T19:14:02Z
dc.date.available	2019-07-11T19:14:02Z
dc.date.issued	2018-01
dc.description.abstract	"The aim of the contribution is to introduce a novel information plane, the causal-amplitude informational plane. As previous works seems to indicate, Bandt and Pompe methodology for estimating entropy does not allow to distinguish between probability distributions which could be fundamental for simulation or for probability analysis purposes. Once a time series is identified as stochastic by the causal complexity-entropy informational plane, the novel causal-amplitude gives a deeper understanding of the time series, quantifying both, the autocorrelation strength and the probability distribution of the data extracted from the generating processes. Two examples are presented, one from climate change model and the other from financial markets"	en
dc.identifier.issn	0378-4371
dc.identifier.uri	http://ri.itba.edu.ar/handle/123456789/1643
dc.language.iso	en	en
dc.relation	info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2017.07.025
dc.subject	ANALISIS DE SERIES DE TIEMPO	es
dc.subject	ENTROPIA	es
dc.subject	SISTEMAS ESTOCASTICOS	es
dc.subject	PROBABILIDAD	es
dc.title	Characterization of autoregressive processes using entropic quantifiers	en
dc.type	Artículos de Publicaciones Periódicas	es
dc.type	info:eu-repo/semantics/acceptedVersion
dspace.entity.type	Artículo de Publicación Periódica
itba.description.filiation	Fil: Traversaro Varela, Francisco. Instituto Tecnológico de Buenos Aires; Argentina.
itba.description.filiation	Fil: Redelico, Francisco. Universidad Nacional de Quilmes; Argentina.
itba.description.filiation	Fil: Redelico, Francisco. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina.
itba.description.filiation	Fil: Redelico, Francisco. Hospital Italiano de Buenos Aires; Argentina.