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Permutation entropy (fast algorithm)

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Efficiently computing values of permutation entropy from 1D time series in sliding windows



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PE.m computes efficiently values of permutation entropy (see more ordinal-patterns based measures at for orders=1...8 of ordinal patterns. The method is 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 (view profile)



1 The values of permutation entropy are divided by order of ordinal patterns
2 Minor code style corrections






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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