Time Series Analysis Using Composite Multiscale Entropy

By Shuen-De Wu, Chiu-Wen Wu, Shiou-Gwo Lin, Chun-Chieh Wang, Kung-Yen Lee. Entropy, 2013

322 citations recorded by the source corpus.

Multiscale entropy (MSE) was recently developed to evaluate the complexity of time series over different time scales. Although the MSE algorithm has been successfully applied in a number of different fields, it encounters a problem in that the statistical reliability of the sample entropy (SampEn) of a coarse-grained series is reduced as a time scale factor is increased. Therefore, in this paper, the concept of a composite multiscale entropy (CMSE) is introduced to overcome this difficulty. Simulation results on both white noise and 1/f noise show that the CMSE provides higher entropy reliablity than the MSE approach for large time scale factors. On real data analysis, both the MSE and CMSE are applied to extract features from fault bearing vibration signals. Experimental results demonstrate that the proposed CMSE-based feature extractor provides higher separability than the MSE-based feature extractor.

Subfields: Economics and Econometrics, Statistical and Nonlinear Physics, Signal Processing

View Paper: https://www.semanticscholar.org/paper/2e77cbbbb8e4cb0cdfc8cfdc04ba4eae609fb86b

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

1. Anne Humeau-Heurtier
2. Dominique Makowski

In Statistical and Nonlinear Physics

1. Z. J. Lau
2. Anne Humeau-Heurtier
3. Tam Pham
4. Shen-Hsing Annabel Chen
5. Dominique Makowski

In Signal Processing

1. Anne Humeau-Heurtier

Citations in the corpus

• The Multiscale Entropy Algorithm and Its Variants: A Review (2015, methodology): “In order to compare the original MSE and CMSE, Wu et al. applied the two algorithms on white and 1 /f noises [10].”
• Heart Rate Variability in Psychology: A Review of HRV Indices and an Analysis Tutorial (2021, methodology): “As MSE formulation does not allow for reliable computation of entropy in short time windows, new methods such as refined MSE (RMSE) [84] and refined composite MSE (RCMSE) [85] have been introduced, though few studies have tested them on HRV [86,87].”