title: Weighted-permutation entropy: a complexity measure for time series incorporating amplitude information.
abstract: Permutation entropy (PE) has been recently suggested as a novel measure to characterize the complexity of nonlinear time series. In this paper, we propose a simple method to address some of PE's limitations, mainly its inability to differentiate between distinct patterns of a certain motif and the sensitivity of patterns close to the noise floor. The method relies on the fact that patterns may be too disparate in amplitudes and variances and proceeds by assigning weights for each extracted vector when computing the relative frequencies associated with every motif. Simulations were conducted over synthetic and real data for a weighting scheme inspired by the variance of each pattern. Results show better robustness and stability in the presence of higher levels of noise, in addition to a distinctive ability to extract complexity information from data with spiky features or having abrupt changes in magnitude.
authors.affiliation: Computational NeuroEngineering Laboratory, Department of Electrical and Computer Engineering, University of Florida, Gainesville, Florida 32611, USA. bhf@cnel.ufl.edu
authors.forename: Bilal
authors.initials: B
authors.lastname: Fadlallah
authors.forename: Badong
authors.initials: B
authors.lastname: Chen
authors.forename: Andreas
authors.initials: A
authors.lastname: Keil
authors.forename: José
authors.initials: J
authors.lastname: Príncipe
mesh_terms: D000465:Algorithms; D003198:Computer Simulation; D019277:Entropy; D015233:Models, Statistical; D017711:Nonlinear Dynamics; D012815:Signal Processing, Computer-Assisted