permutation_entropy {statcomp} | R Documentation |
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)
opd |
A numeric vector that details an ordinal pattern distribution. |
This function calculates the permutation entropy as described in Bandt and Pompe 2002.
The normalized permutation entropy as a numeric value in the range [0,1].
Sebastian Sippel
Bandt, C. and Pompe, B., 2002. Permutation entropy: a natural complexity measure for time series. Physical review letters, 88(17), p.174102.
x = arima.sim(model=list(ar = 0.3), n = 10^4) opd = ordinal_pattern_distribution(x = x, ndemb = 6) permutation_entropy(opd)