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Entropy 2012, 14(10), 1829-1841; doi:10.3390/e14101829
Article

On Extracting Probability Distribution Information from Time Series

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Received: 15 August 2012 / Revised: 8 September 2012 / Accepted: 21 September 2012 / Published: 28 September 2012
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Abstract

Time-series (TS) are employed in a variety of academic disciplines. In this paper we focus on extracting probability density functions (PDFs) from TS to gain an insight into the underlying dynamic processes. On discussing this “extraction” problem, we consider two popular approaches that we identify as histograms and Bandt–Pompe. We use an information-theoretic method to objectively compare the information content of the concomitant PDFs.
Keywords: Bandt–Pompe; histograms; time-series Bandt–Pompe; histograms; time-series
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Kowalski, A.M.; Martin, M.T.; Plastino, A.; Judge, G. On Extracting Probability Distribution Information from Time Series. Entropy 2012, 14, 1829-1841.

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