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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),...

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Detalhes bibliográficos
Publicado no:Entropy (Basel)
Main Authors: Zhao, Xiaojun, Liang, Chenxu, Zhang, Na, Shang, Pengjian
Formato: Artigo
Idioma:Inglês
Publicado em: MDPI 2019
Assuntos:
Acesso em linha:https://ncbi.nlm.nih.gov/pmc/articles/PMC7515187/
https://ncbi.nlm.nih.gov/pubmed/33267398
https://ncbi.nlm.nih.govhttp://dx.doi.org/10.3390/e21070684
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