Quantifying Non-Stationarity with Information Theory
We introduce an index based on information theory to quantify the stationarity of a stochastic process. The index compares on the one hand the information contained in the increment at the time scale <inline-formula><math xmlns="http://www.w3.org/1998/Math/MathML" display="in...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
MDPI AG
2021-11-01
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| Series: | Entropy |
| Subjects: | |
| Online Access: | https://www.mdpi.com/1099-4300/23/12/1609 |