Improvement of Statistical Performance of Ordinal Multiscale Entropy Techniques Using Refined Composite Downsampling Permutation Entropy

Multiscale Permutation Entropy (MPE) analysis is a powerful ordinal tool in the measurement of information content of time series. MPE refinements, such as Composite MPE (cMPE) and Refined Composite MPE (rcMPE), greatly increase the precision of the entropy estimation by modifying the original method. Nonetheless, these techniques have only been proposed as algorithms, and are yet to be described from the theoretical perspective. Therefore, the purpose of this article is two-fold. First, we develop the statistical theory behind cMPE and rcMPE. Second, we propose an alternative method, Refined Composite Downsampling Permutation Entropy (rcDPE) to further increase the entropy estimation’s precision. Although cMPE and rcMPE outperform MPE when applied on uncorrelated noise, the results are higher than our predictions due to inherent redundancies found in the composite algorithms. The rcDPE method, on the other hand, not only conforms to our theoretical predictions, but also greatly improves over the other methods, showing the smallest bias and variance. By using MPE, rcMPE and rcDPE to classify faults in bearing vibration signals, rcDPE outperforms the multiscaling methods, enhancing the difference between faulty and non-faulty signals, provided we apply a proper anti-aliasing low-pass filter at each time scale.