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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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| Pubblicato in: | Entropy (Basel) |
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| Autori principali: | , , , |
| Natura: | Artigo |
| Lingua: | Inglês |
| Pubblicazione: |
MDPI
2019
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| Soggetti: | |
| Accesso online: | 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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