| Paper ID | C-2-1.3 |
| Paper Title |
On the Behaviour of Permutation Entropy on Fractional Brownian Motion in a Multivariate Setting |
| Authors |
Marisa Mohr, Nils Finke, Ralf Moeller, University of Luebeck, Germany |
| Session |
C-2-1: Signal and Information Processing Methods |
| Time | Wednesday, 09 December, 12:30 - 14:00 |
| Presentation Time: | Wednesday, 09 December, 13:00 - 13:15 Check your Time Zone |
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All times are in New Zealand Time (UTC +13) |
| Topic |
Signal and Information Processing Theory and Methods (SIPTM): |
| Abstract |
The investigation of qualitative behaviour of the fractional Brownian motion is an important topic for modelling theoretic and real-world applications. Permutation Entropy is a robust and fast approach to quantify the complexity of a time series in a scalar-valued representation. There are numerous studies on the behaviour of Permutation Entropy on fractional Brownian motion. Similarly, Multi-Scale Permutation Entropy is used to study structures on different time scales in a univariate context. Nevertheless, many real-world problems contain multivariate time series. In this paper we investigate the behaviour of Permutation Entropy as well as the behaviour of Multi-Scale Permutation Entropy on fractional Brownian motion - each in the multivariate case. We show that the multivariate results are consistent with known univariate results. |