File Exchange

image thumbnail

Permutation entropy (fast algorithm)

version 1.3 (845 KB) by

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

18 Downloads

Updated

View License

PE.m computes efficiently values of permutation entropy (see more ordinal-patterns based measures at http://www.mathworks.com/matlabcentral/fileexchange/63782-ordinal-patterns-based-analysis--beta-version-) 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

ervin (view profile)

Updates

1.3

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

1.2

-

1.2

-

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.

MATLAB Release
MATLAB 8.0 (R2012b)

Download apps, toolboxes, and other File Exchange content using Add-On Explorer in MATLAB.

» Watch video