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Quantifying the Multiscale Predictability of Financial Time Series by an Information-Theoretic Approach
Making predictions on the dynamics of time series of a system is a very interesting topic. A fundamental prerequisite of this work is to evaluate the predictability of the system over a wide range of time. In this paper, we propose an information-theoretic tool, multiscale entropy difference (MED),...
| Autores principales: | , , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
MDPI
2019
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7515187/ https://www.ncbi.nlm.nih.gov/pubmed/33267398 http://dx.doi.org/10.3390/e21070684 |