permutation_entropy function

A function to compute the permutation entropy

Computation of the permutation entropy of a time series based on its ordinal pattern distribution (see Bandt and Pompe 2002). Permutation entropy is a global information measure, hence insensitive to the permutation ordering scheme.

permutation_entropy(opd)

Arguments

• opd: A numeric vector that details an ordinal pattern distribution.

Returns

The normalized permutation entropy as a numeric value in the range [0,1].

Details

This function calculates the permutation entropy as described in Bandt and Pompe 2002.

Examples

x = arima.sim(model=list(ar = 0.3), n = 10^4)
opd = ordinal_pattern_distribution(x = x, ndemb = 6)
permutation_entropy(opd)

References

Bandt, C. and Pompe, B., 2002. Permutation entropy: a natural complexity measure for time series. Physical review letters, 88(17), p.174102.

Author(s)

Sebastian Sippel