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Bandt-Pompe symbolization dynamics for time series with tied values: a data-driven approach
Traversaro Varela, Francisco Redelico, Francisco Risk, Marcelo Frery, Alejandro C. Rosso, Osvaldo A.
Traversaro Varela, Francisco
Redelico, Francisco
Risk, Marcelo
Frery, Alejandro C.
Rosso, Osvaldo A.
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Artículo de publicación periódica
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Abstract
"In 2002, Bandt and Pompe [Phys. Rev. Lett. 88, 174102 (2002)] introduced a successfully symbolic
encoding scheme based on the ordinal relation between the amplitude of neighboring values of a
given data sequence, from which the permutation entropy can be evaluated. Equalities in the analyzed sequence, for example, repeated equal values, deserve special attention and treatment as was shown recently by Zunino and co-workers [Phys. Lett. A 381, 1883 (2017)]. A significant number of equal values can give rise to false conclusions regarding the underlying temporal structures in practical contexts. In the present contribution, we review the different existing methodologies for treating time series with tied values by classifying them according to their different strategies. In addition, a novel data-driven imputation is presented that proves to outperform the existing methodologies and avoid the false conclusions pointed by Zunino and co-workers."
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2018-07
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ANALISIS DE SERIES DE TIEMPO, ENTROPIA, TEORIA DE LA INFORMACION