Specific Differential Entropy Rate Estimation for Continuous-Valued Time Series

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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Bibliographic Details
Main Author:	David Darmon
Format:	Article
Language:	English
Published:	MDPI AG 2016-05-01
Series:	Entropy
Subjects:	information theory entropy rate stochastic dynamical system kernel density estimation
Online Access:	http://www.mdpi.com/1099-4300/18/5/190

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