Scaling Detection in Time Series: Diffusion Entropy Analysis

PDF Version Also Available for Download.

Description

Article discussing a method of statistical analysis based on the Shannon entropy of the diffusion process generated by the time series, called diffusion entropy analysis (DEA).

Physical Description

10 p.

Creation Information

Scafetta, Nicola & Grigolini, Paolo September 25, 2002.

Context

This article is part of the collection entitled: UNT Scholarly Works and was provided by UNT College of Arts and Sciences to Digital Library, a digital repository hosted by the UNT Libraries. It has been viewed 277 times , with 6 in the last month . More information about this article can be viewed below.

Who

People and organizations associated with either the creation of this article or its content.

Authors

  • Scafetta, Nicola University of North Texas; Duke University
  • Grigolini, Paolo University of North Texas; Universitá di Pisa and INFM; Istituto di Biofisica CNR

Publisher

Provided By

UNT College of Arts and Sciences

The UNT College of Arts and Sciences educates students in traditional liberal arts, performing arts, sciences, professional, and technical academic programs. In addition to its departments, the college includes academic centers, institutes, programs, and offices providing diverse courses of study.

Contact Us

What

Descriptive information to help identify this article. Follow the links below to find similar items on the Digital Library.

Degree Information

Description

Article discussing a method of statistical analysis based on the Shannon entropy of the diffusion process generated by the time series, called diffusion entropy analysis (DEA).

Physical Description

10 p.

Notes

Copyright 2002 American Physical Society. The following article appeared in Physical Review E, 66:3; http://pre.aps.org/abstract/PRE/v66/i3/e036130

Abstract: The methods currently used to determine the scaling exponent of a complex dynamic process described by a time series are based on the numerical evaluation of variance. This means that all of them can be safely applied only to the case where ordinary statistical properties hold true even if strange kinetics are involved. The authors illustrate a method of statistical analysis based on the Shannon entropy of the diffusion process generated by the time series, called diffusion entropy analysis (DEA). The authors adopt artificial Gauss and Lévy time series, as prototypes of ordinary and anomalous statistics, respectively, and the authors analyze them with the DEA and four ordinary methods of analysis, some of which are very popular. The authors show that the DEA determines the correct scaling exponent even when the statistical properties, as well as the dynamic properties, are anomalous. The other four methods produce correct results in the Gauss case but fail to detect the correct scaling in the case of Lévy statistics.

Source

  • Physical Review E, 2002, College Park: American Physical Society

Language

Item Type

Identifier

Unique identifying numbers for this article in the Digital Library or other systems.

Publication Information

  • Publication Title: Physical Review E
  • Volume: 66
  • Issue: 3
  • Pages: 10
  • Peer Reviewed: Yes

Collections

This article is part of the following collection of related materials.

UNT Scholarly Works

Materials from the UNT community's research, creative, and scholarly activities and UNT's Open Access Repository. Access to some items in this collection may be restricted.

What responsibilities do I have when using this article?

When

Dates and time periods associated with this article.

Creation Date

  • September 25, 2002

Added to The UNT Digital Library

  • Nov. 24, 2011, 12:20 a.m.

Description Last Updated

  • May 23, 2014, 2:15 p.m.

Usage Statistics

When was this article last used?

Yesterday: 0
Past 30 days: 6
Total Uses: 277

Interact With This Article

Here are some suggestions for what to do next.

Start Reading

PDF Version Also Available for Download.

Citations, Rights, Re-Use

Scafetta, Nicola & Grigolini, Paolo. Scaling Detection in Time Series: Diffusion Entropy Analysis, article, September 25, 2002; [College Park, Maryland]. (digital.library.unt.edu/ark:/67531/metadc67632/: accessed November 22, 2017), University of North Texas Libraries, Digital Library, digital.library.unt.edu; crediting UNT College of Arts and Sciences.