Abstract
The slope fitting line between MPE (multi-scale permutation entropy) and MWPE (multi-scale weighted permutation entropy) is recently proposed as a discriminant statistic for testing the nonlinearity of a time series. The main objective of this paper is to demonstrate that the selection of the optimal parameters of the non-uniform embedding is essential for the proposed discriminant statistic. In particular, the presented case studies indicate that the modified discriminant statistic based on non-uniform embedding can detect differences between such time series which remain indistinguishable if the original approach is used.
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