Specific Differential Entropy Rate Estimation for Continuous-Valued Time Series

We introduce a method for quantifying the inherent unpredictability of a continuous-valued time series via an extension of the differential Shannon entropy rate. Our extension, the specific entropy rate, quantifies the amount of predictive uncertainty associated with a specific state, rather than av...

Full description

Saved in:
Bibliographic Details
Published in:Entropy (Basel, Switzerland) Switzerland), 2016-05, Vol.18 (5), p.190
Main Author: Darmon, David
Format: Article
Language:English
Subjects:
entropy rate
information theory
kernel density estimation
stochastic dynamical system
Citations: Items that this one cites
Items that cite this one
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We introduce a method for quantifying the inherent unpredictability of a continuous-valued time series via an extension of the differential Shannon entropy rate. Our extension, the specific entropy rate, quantifies the amount of predictive uncertainty associated with a specific state, rather than averaged over all states. We provide a data-driven approach for estimating the specific entropy rate of an observed time series. Finally, we consider three case studies of estimating the specific entropy rate from synthetic and physiological data relevant to the analysis of heart rate variability.
ISSN:1099-4300
1099-4300
DOI:10.3390/e18050190