MAXENPER: a program for maximum entropy spectral estimation with assessment of statistical significance by the permutation test
نویسندگان
چکیده
The maximum entropy spectral estimator is widely used because of its high spectral resolution, but it lacks an easy procedure for evaluating the statistical significance of the spectral estimates. We implemented the non-parametric computer intensive permutation test in order to evaluate the statistical significance of the maximum entropy spectral estimates. There is the possibility of choosing between an underlying red or white noise in the permutation procedure. Two case studies, with a long and a short time series, illustrate the performance of the method. r 2004 Elsevier Ltd. All rights reserved.
منابع مشابه
Comparison of the Performance of Two Advanced Spectral Methods for the Analysis of Times Series in Paleoceanography
Many studies have revealed the cyclicity of past ocean/atmosphere dynamics at a wide range of time scales (from decadal to millennial time scales), based on the spectral analysis of time series of climate proxies obtained from deep sea sediment cores. Among the many techniques available for spectral analysis, the maximum entropy method and the Thomson multitaper approach have frequently been us...
متن کاملModeling of investment attractiveness of countries using entropy analysis of regional stock markets
The current study focuses on the problem of determining investment attrаctiveness of countries by means of monitoring regional stock markets. The method of using the permutation entropy as a model of investment attractiveness estimation is suggested. We have calculated the permutation entropy for the time series of stock markets of countries for the period from 2005 to 2018. The countries with ...
متن کاملTaylor Expansion for the Entropy Rate of Hidden Markov Chains
We study the entropy rate of a hidden Markov process, defined by observing the output of a symmetric channel whose input is a first order Markov process. Although this definition is very simple, obtaining the exact amount of entropy rate in calculation is an open problem. We introduce some probability matrices based on Markov chain's and channel's parameters. Then, we try to obtain an estimate ...
متن کاملAssessment of Anesthesia Depth Using Effective Brain Connectivity Based on Transfer Entropy on EEG Signal
Introduction: Ensuring an adequate Depth of Anesthesia (DOA) during surgery is essential for anesthesiologists. Since the effect of anesthetic drugs is on the central nervous system, brain signals such as Electroencephalogram (EEG) can be used for DOA estimation. Anesthesia can interfere among brain regions, so the relationship among different areas can be a key factor in the anesthetic process...
متن کاملModeling of the Maximum Entropy Problem as an Optimal Control Problem and its Application to Pdf Estimation of Electricity Price
In this paper, the continuous optimal control theory is used to model and solve the maximum entropy problem for a continuous random variable. The maximum entropy principle provides a method to obtain least-biased probability density function (Pdf) estimation. In this paper, to find a closed form solution for the maximum entropy problem with any number of moment constraints, the entropy is consi...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
- Computers & Geosciences
دوره 31 شماره
صفحات -
تاریخ انتشار 2005