Journal
PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS
Volume 356, Issue 1, Pages 114-120Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.physa.2005.05.022
Keywords
time series; complexity; ordinal patterns; permutation entropy
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In order to develop fast and robust methods for extracting qualitative information from non-linear time series, Bandt and Pompe have proposed to consider time series from the pure ordinal viewpoint. On the basis of counting ordinal patterns, which describe the up-and-down in a time series, they have introduced the concept of permutation entropy for quantifying the complexity of a system behind a time series. The permutation entropy only provides one detail of the ordinal structure of a time series. Here we present a method for extracting the whole ordinal information. (c) 2005 Elsevier B.V. All rights reserved.
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