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Permutation entropy (fast algorithm)

version 1.2 (17.4 MB) by

Efficient computing of empirical permutation entropy

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PE.m computes efficiently empirical permutation entropy. PEeq.m computes efficiently empirical permutation entropy for the case of modified ordinal patterns. The methods are based on precomputing values of successive ordinal patterns of order d, using the fact that they are "overlapped" in d points, and on precomputing successive values of the permutation entropy related to "overlapping" successive time-windows [1].
1 Unakafova, V. A., & Keller, K. (2013). Efficiently Measuring Complexity on the Basis of Real-World Data. Entropy, 15(10), 4392-4415.

Comments and Ratings (1)

ervin

ervin (view profile)

Updates

1.2

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1.2

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1.1

A small mistake in the code is corrected:
(line 49) iTau = 1;
is replaced by
(line 48) iTau = mod(WS, Tau)+1;

This mistake introduced a small (~1%) error only in the first WS ePE values if computing for tau>1.

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