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A Method for Estimating the Entropy of Time Series Using Artificial Neural Networks.

ABSTRACT: Measuring the predictability and complexity of time series using entropy is essential tool designing and controlling a nonlinear system. However, the existing methods have some drawbacks related to the strong dependence of entropy on the parameters of the methods. To overcome these difficulties, this study proposes a new method for estimating the entropy of a time series using the LogNNet neural network model. The LogNNet reservoir matrix is filled with time series elements according to our algorithm. The accuracy of the classification of images from the MNIST-10 database is considered as the entropy measure and denoted by NNetEn. The novelty of entropy calculation is that the time series is involved in mixing the input information in the reservoir. Greater complexity in the time series leads to a higher classification accuracy and higher NNetEn values. We introduce a new time series characteristic called time series learning inertia that determines the learning rate of the neural network. The robustness and efficiency of the method is verified on chaotic, periodic, random, binary, and constant time series. The comparison of NNetEn with other methods of entropy estimation demonstrates that our method is more robust and accurate and can be widely used in practice.

SUBMITTER: Velichko A

PROVIDER: S-EPMC8621949 | biostudies-literature |

REPOSITORIES: biostudies-literature

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Project description:Transfer entropy (TE) is a widely used measure of directed information flows in a number of domains including neuroscience. Many real-world time series for which we are interested in information flows come in the form of (near) instantaneous events occurring over time. Examples include the spiking of biological neurons, trades on stock markets and posts to social media, amongst myriad other systems involving events in continuous time throughout the natural and social sciences. However, there exist severe limitations to the current approach to TE estimation on such event-based data via discretising the time series into time bins: it is not consistent, has high bias, converges slowly and cannot simultaneously capture relationships that occur with very fine time precision as well as those that occur over long time intervals. Building on recent work which derived a theoretical framework for TE in continuous time, we present an estimation framework for TE on event-based data and develop a k-nearest-neighbours estimator within this framework. This estimator is provably consistent, has favourable bias properties and converges orders of magnitude more quickly than the current state-of-the-art in discrete-time estimation on synthetic examples. We demonstrate failures of the traditionally-used source-time-shift method for null surrogate generation. In order to overcome these failures, we develop a local permutation scheme for generating surrogate time series conforming to the appropriate null hypothesis in order to test for the statistical significance of the TE and, as such, test for the conditional independence between the history of one point process and the updates of another. Our approach is shown to be capable of correctly rejecting or accepting the null hypothesis of conditional independence even in the presence of strong pairwise time-directed correlations. This capacity to accurately test for conditional independence is further demonstrated on models of a spiking neural circuit inspired by the pyloric circuit of the crustacean stomatogastric ganglion, succeeding where previous related estimators have failed.

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A Method for Estimating the Entropy of Time Series Using Artificial Neural Networks.

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