Statistical properties of the entropy from ordinal patterns

"The ultimate purpose of the statistical analysis of ordinal patterns is to characterize the distribution of the features they induce. In particular, knowing the joint distribution of the pair entropy-statistical complexity for a large class of time series models would allow statistical tests t...

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Autores principales:	Chagas, Eduarda T. C., Frery, Alejandro C., Gambini, Juliana, Lucini, María M., Ramos, Heitor S., Rey, Andrea
Formato:	Artículo de Publicación Periódica publishedVersion
Lenguaje:	Inglés
Publicado:	2023
Materias:	ENTROPIA ANALISIS ESTADISTICO
Acceso en línea:	https://ri.itba.edu.ar/handle/123456789/4143
Aporte de:	Repositorio Institucional Instituto Tecnológico de Buenos Aires (ITBA) de Instituto Tecnológico de Buenos Aires (ITBA)

id	I32-R138-123456789-4143
record_format	dspace
spelling	I32-R138-123456789-41432023-01-12T03:01:16Z Statistical properties of the entropy from ordinal patterns Chagas, Eduarda T. C. Frery, Alejandro C. Gambini, Juliana Lucini, María M. Ramos, Heitor S. Rey, Andrea ENTROPIA ANALISIS ESTADISTICO "The ultimate purpose of the statistical analysis of ordinal patterns is to characterize the distribution of the features they induce. In particular, knowing the joint distribution of the pair entropy-statistical complexity for a large class of time series models would allow statistical tests that are unavailable to date. Working in this direction, we characterize the asymptotic distribution of the empirical Shannon’s entropy for any model under which the true normalized entropy is neither zero nor one. We obtain the asymptotic distribution from the central limit theorem (assuming large time series), the multivariate delta method, and a third-order correction of its mean value. We discuss the applicability of other results (exact, first-, and second-order corrections) regarding their accuracy and numerical stability. Within a general framework for building test statistics about Shannon’s entropy, we present a bilateral test that verifies if there is enough evidence to reject the hypothesis that two signals produce ordinal patterns with the same Shannon’s entropy. We applied this bilateral test to the daily maximum temperature time series from three cities (Dublin, Edinburgh, and Miami) and obtained sensible results." 2023-01-11T17:44:55Z 2023-01-11T17:44:55Z 2022 Artículo de Publicación Periódica info:eu-repo/semantics/publishedVersion 1089-7682 https://ri.itba.edu.ar/handle/123456789/4143 en info:eu-repo/grantAgreement/CONICET/PIP/2021 11220200103040CO/AR. Ciudad Autónoma de Buenos Aires info:eu-repo/grantAgreement/FAPESP/2020/05121-4/BR. San Pablo info:eu-repo/grantAgreement/CONICET/312682/2021-2/AR. Ciudad Autónoma de Buenos Aires info:eu-repo/semantics/altIdentifier/10.1063/5.0118706 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	ENTROPIA ANALISIS ESTADISTICO
spellingShingle	ENTROPIA ANALISIS ESTADISTICO Chagas, Eduarda T. C. Frery, Alejandro C. Gambini, Juliana Lucini, María M. Ramos, Heitor S. Rey, Andrea Statistical properties of the entropy from ordinal patterns
topic_facet	ENTROPIA ANALISIS ESTADISTICO
description	"The ultimate purpose of the statistical analysis of ordinal patterns is to characterize the distribution of the features they induce. In particular, knowing the joint distribution of the pair entropy-statistical complexity for a large class of time series models would allow statistical tests that are unavailable to date. Working in this direction, we characterize the asymptotic distribution of the empirical Shannon’s entropy for any model under which the true normalized entropy is neither zero nor one. We obtain the asymptotic distribution from the central limit theorem (assuming large time series), the multivariate delta method, and a third-order correction of its mean value. We discuss the applicability of other results (exact, first-, and second-order corrections) regarding their accuracy and numerical stability. Within a general framework for building test statistics about Shannon’s entropy, we present a bilateral test that verifies if there is enough evidence to reject the hypothesis that two signals produce ordinal patterns with the same Shannon’s entropy. We applied this bilateral test to the daily maximum temperature time series from three cities (Dublin, Edinburgh, and Miami) and obtained sensible results."
format	Artículo de Publicación Periódica publishedVersion
author	Chagas, Eduarda T. C. Frery, Alejandro C. Gambini, Juliana Lucini, María M. Ramos, Heitor S. Rey, Andrea
author_facet	Chagas, Eduarda T. C. Frery, Alejandro C. Gambini, Juliana Lucini, María M. Ramos, Heitor S. Rey, Andrea
author_sort	Chagas, Eduarda T. C.
title	Statistical properties of the entropy from ordinal patterns
title_short	Statistical properties of the entropy from ordinal patterns
title_full	Statistical properties of the entropy from ordinal patterns
title_fullStr	Statistical properties of the entropy from ordinal patterns
title_full_unstemmed	Statistical properties of the entropy from ordinal patterns
title_sort	statistical properties of the entropy from ordinal patterns
publishDate	2023
url	https://ri.itba.edu.ar/handle/123456789/4143
work_keys_str_mv	AT chagaseduardatc statisticalpropertiesoftheentropyfromordinalpatterns AT freryalejandroc statisticalpropertiesoftheentropyfromordinalpatterns AT gambinijuliana statisticalpropertiesoftheentropyfromordinalpatterns AT lucinimariam statisticalpropertiesoftheentropyfromordinalpatterns AT ramosheitors statisticalpropertiesoftheentropyfromordinalpatterns AT reyandrea statisticalpropertiesoftheentropyfromordinalpatterns
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Statistical properties of the entropy from ordinal patterns

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