Specific Differential Entropy Rate Estimation for Continuous-Valued Time Series
We introduce a method for quantifying the inherent unpredictability of a continuous-valued time series via an extension of the differential Shannon entropy rate. Our extension, the specific entropy rate, quantifies the amount of predictive uncertainty associated with a specific state, rather than av...
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Format: | Article |
Language: | English |
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MDPI AG
2016-05-01
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Series: | Entropy |
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Online Access: | http://www.mdpi.com/1099-4300/18/5/190 |