Characterization of autoregressive processes using entropic quantifiers

"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 f...

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Detalles Bibliográficos
Autores principales: Traversaro Varela, Francisco, Redelico, Francisco
Formato: Artículos de Publicaciones Periódicas acceptedVersion
Lenguaje:Inglés
Publicado: 2019
Materias:
ANALISIS DE SERIES DE TIEMPO
ENTROPIA
SISTEMAS ESTOCASTICOS
PROBABILIDAD
Acceso en línea:http://ri.itba.edu.ar/handle/123456789/1643
Aporte de:
Repositorio Institucional Instituto Tecnológico de Buenos Aires (ITBA) de Instituto Tecnológico de Buenos Aires (ITBA)
id I32-R138-123456789-1643
record_format dspace
spelling I32-R138-123456789-16432022-12-07T13:06:53Z Characterization of autoregressive processes using entropic quantifiers Traversaro Varela, Francisco Redelico, Francisco ANALISIS DE SERIES DE TIEMPO ENTROPIA SISTEMAS ESTOCASTICOS PROBABILIDAD "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" 2019-07-11T19:14:02Z 2019-07-11T19:14:02Z 2018-01 Artículos de Publicaciones Periódicas info:eu-repo/semantics/acceptedVersion 0378-4371 http://ri.itba.edu.ar/handle/123456789/1643 en info:eu-repo/semantics/altIdentifier/doi/10.1016/j.physa.2017.07.025 application/pdf
institution Instituto Tecnológico de Buenos Aires (ITBA)
institution_str I-32
repository_str R-138
collection Repositorio Institucional Instituto Tecnológico de Buenos Aires (ITBA)
language Inglés
topic ANALISIS DE SERIES DE TIEMPO
ENTROPIA
SISTEMAS ESTOCASTICOS
PROBABILIDAD
spellingShingle ANALISIS DE SERIES DE TIEMPO
ENTROPIA
SISTEMAS ESTOCASTICOS
PROBABILIDAD
Traversaro Varela, Francisco
Redelico, Francisco
Characterization of autoregressive processes using entropic quantifiers
topic_facet ANALISIS DE SERIES DE TIEMPO
ENTROPIA
SISTEMAS ESTOCASTICOS
PROBABILIDAD
description "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"
format Artículos de Publicaciones Periódicas
acceptedVersion
author Traversaro Varela, Francisco
Redelico, Francisco
author_facet Traversaro Varela, Francisco
Redelico, Francisco
author_sort Traversaro Varela, Francisco
title Characterization of autoregressive processes using entropic quantifiers
title_short Characterization of autoregressive processes using entropic quantifiers
title_full Characterization of autoregressive processes using entropic quantifiers
title_fullStr Characterization of autoregressive processes using entropic quantifiers
title_full_unstemmed Characterization of autoregressive processes using entropic quantifiers
title_sort characterization of autoregressive processes using entropic quantifiers
publishDate 2019
url http://ri.itba.edu.ar/handle/123456789/1643
work_keys_str_mv AT traversarovarelafrancisco characterizationofautoregressiveprocessesusingentropicquantifiers
AT redelicofrancisco characterizationofautoregressiveprocessesusingentropicquantifiers
_version_ 1765661092887920640

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