Estimation of entropies and dimensions by nonlinear symbolic time series analysis.

Abstract

Symbolic nonlinear time series analysis methods have the potential for analyzing nonlinear data efficiently with low sensitivity to noise. In symbolic nonlinear time series analysis a time series for a fixed delay is partitioned into a small number (called the alphabet size) of cells labeled by symbols, creating a symbolic time series. Symbolic methods involve computing the statistics of words made from the symbolic time series. Specifically, the Shannon entropy of the distribution of possible words for a range of word lengths is computed. The rate of increase of the entropy with word length is the metric (Kolmogorov-Sinai) entropy. Methods of computing the metric entropy for flows as well as for maps are shown. A method of computing the information dimension appropriate to symbolic analysis is proposed. In terms of this formulation, the information dimension is determined by the scaling of entropy as alphabet size is modestly increased, using the information obtained from large word length. We discuss the role of sampling time and the issue of using these methods when there may be no generating partition.