Efficient use of correlation entropy for analysing time series data

Harikrishnan, KP and Misra, R and Ambika, G (2009) Efficient use of correlation entropy for analysing time series data. In: Pramana - Journal of Physics, 72 (2). pp. 325-333.

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Abstract

The correlation dimension D 2 and correlation entropy K 2 are both important quantifiers in nonlinear time series analysis. However, use of D 2 has been more common compared to K 2 as a discriminating measure. One reason for this is that D 2 is a static measure and can be easily evaluated from a time series. However, in many cases, especially those involving coloured noise, K 2 is regarded as a more useful measure. Here we present an efficient algorithmic scheme to compute K 2 directly from a time series data and show that K 2 can be used as a more effective measure compared to D 2 for analysing practical time series involving coloured noise.

Item Type:	Journal Article
Publication:	Pramana - Journal of Physics
Publisher:	Indian Academy of Sciences
Additional Information:	Copyright of this article belongs to Indian Academy of Sciences.
Keywords:	Time series analysis;correlation entropy;coloured noise.
Department/Centre:	Division of Interdisciplinary Sciences > Supercomputer Education & Research Centre
Date Deposited:	02 Jun 2009 11:44
Last Modified:	19 Sep 2010 05:29
URI:	http://eprints.iisc.ac.in/id/eprint/19723

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