Change-Point Detection Using the Conditional Entropy of Ordinal Patterns
This paper is devoted to change-point detection using only the ordinal structure of a time series. A statistic based on the conditional entropy of ordinal patterns characterizing the local up and down in a time series is introduced and investigated. The statistic requires only minimal a priori infor...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2018-09-01
|
| Series: | Entropy |
| Subjects: | |
| Online Access: | http://www.mdpi.com/1099-4300/20/9/709 |