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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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|
|Additional Information:||Copyright of this article belongs to Indian Academy of Sciences.|
|Keywords:||Time series analysis;correlation entropy;coloured noise.|
|Department/Centre:||Division of Information Sciences > Supercomputer Education & Research Centre|
|Date Deposited:||02 Jun 2009 11:44|
|Last Modified:||19 Sep 2010 05:29|
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