Financial time series analysis using the relation between MPE and MWPE

The slope fitting line between MPE (multi-scale permutation entropy) and MWPE (multi-scale weighted permutation entropy) is recently proposed as a discriminant statistic for testing the nonlinearity of a time series. The main objective of this paper is to demonstrate that the selection of the optimal parameters of the non-uniform embedding is essential for the proposed discriminant statistic. In particular, the presented case studies indicate that the modified discriminant statistic based on non-uniform embedding can detect differences between such time series which remain indistinguishable if the original approach is used.

A comparative study of four multi-scale entropies combined with grey relational degree in classification of ship-radiated noise

In order to solve the shortcoming of multi-scale weighted permutation entropy ignoring high-frequency components, this paper proposes a new nonlinear dynamics analysis method, which is called hierarchical weighted permutation entropy. This method can fully and accurately reflect the low-frequency and high-frequency information of the time series. Based on this, a new intelligent fault diagnosis method for common rail injector based on hierarchical weighted permutation entropy and LSSVM is proposed. Through simulation signal and experimental data analysis, the proposed method is compared with the fault diagnosis method based on multi-scale permutation entropy and multi-scale weighted permutation entropy. The results show that HWPE can more comprehensively reflect the fault information and the proposed diagnosis method has a higher fault recognition rate and stronger robustness.

A method based on compound multiscale permutation entropy, support vector machine, and particle swarm optimization for roller bearings fault diagnosis was presented in this study. Firstly, the roller bearings vibration signals under different conditions were decomposed into permutation entropy values by the multiscale permutation entropy and compound multiscale permutation entropy methods. The compound multiscale permutation entropy model combined the different graining sequence information under each scale factor. The average value of each scale factor was regarded as the final entropy value in the compound multiscale permutation entropy model. The compound multiscale permutation entropy model suppressed the shortcomings of poor stability caused by the length of the original signals in the multiscale permutation entropy model. Validity and accuracy are considered in the numerical experiments, and then compared with the computational efficiency of the multiscale permutation entropy method. Secondly, the entropy values of the multiscale permutation entropy/compound multiscale permutation entropy under different scales are regarded as the input of the particle swarm optimization–support vector machine models for fulfilling the fault identification, the classification accuracy is used to verify the effectiveness of the multiscale permutation entropy/compound multiscale permutation entropy with particle swarm optimization–support vector machine. Finally, the experimental results show that the classification accuracy of the compound multiscale permutation entropy model is higher than that of the multiscale permutation entropy.

Ship-radiated noise is one of the important signal types under the complex ocean background, which can well reflect physical properties of ships. As one of the valid measures to characterize the complexity of ship-radiated noise, permutation entropy (PE) has the advantages of high efficiency and simple calculation. However, PE has the problems of missing amplitude information and single scale. To address the two drawbacks, refined composite multi-scale reverse weighted PE (RCMRWPE), as a novel measurement technology of describing the signal complexity, is put forward based on refined composite multi-scale processing (RCMP) and reverse weighted PE (RWPE). RCMP is an improved method of coarse-graining, which not only solves the problem of single scale, but also improves the stability of traditional coarse-graining; RWPE has been proposed more recently, and has better inter-class separability and robustness performance to noise than PE, weighted PE (WPE), and reverse PE (RPE). Additionally, a feature extraction scheme of ship-radiated noise is proposed based on RCMRWPE, furthermore, RCMRWPE is combined with discriminant analysis classifier (DAC) to form a new classification method. After that, a large number of comparative experiments of feature extraction schemes and classification methods with two artificial random signals and six ship-radiated noise are carried out, which show that the proposed feature extraction scheme has better performance in distinguishing ability and stability than the other three similar feature extraction schemes based on multi-scale PE (MPE), multi-scale WPE (MWPE), and multi-scale RPE (MRPE), and the proposed classification method also has the highest recognition rate.

It is an important practical problem to accurately recognize whether biological tissue is denatured during high intensity focused ultrasound (HIFU) treatment. Ultrasonic scattering echo signals are related to some physical properties of biological tissues. According to the characteristics of ultrasonic scattering echo signals, the recognition of denatured biological tissues is studied based on the variational mode decomposition (VMD) and multi-scale permutation entropy (MPE) in this paper. The ultrasonic echo signals are decomposed into various modal components by the VMD. The noise components and the useful components are separated according to the power spectrum information entropy of various modal components. The separated useful signals are reconstructed and the MPE are extracted. Furthermore, Gustafson-Kessel (GK) fuzzy clustering analysis is employed to obtain the standard clustering center, and the recognition of denatured biological tissues is carried out by Euclid approach degree and principle of proximity. The proposed method is applied to ultrasonic scattering echo signal during HIFU treatment. In order to determine the parameters of MPE algorithm for ultrasonic scattering echo signals, the embedding dimension of the MPE is discussed, and the scale factor of the MPE algorithm is optimized by genetic algorithm. When the delay time and the embedding dimension are 2 and 7 respectively, the MPE values decrease with scale factor increasing. Assuming that the scale factor is 12 from optimization results, the 293 ultrasonic scattering echo signals from normal tissues and denatured tissues are analyzed by the MPE. It is found that the MPE values of the denatured tissues are higher than those of the normal tissues. The MPE can be used to distinguish normal tissues and denatured tissues. Comparing with the recognition methods of the EMD-MPE-GK fuzzy clustering method and the VMD-WE-GK fuzzy clustering, the proposed method has good clustering performance and separability. Its partition coefficient (PC) is close to 1 and the Xie-Beni (XB) index is smaller. There are fewer feature points in the overlap region between MPE features of denatured tissues and normal tissues. The recognition results of denatured biological tissues in this experimental environment show that the recognition rate based on this method is higher, reaching up to 93.81%.

Fault diagnosis of rotating machinery is vital to identify incipient failures and avoid unexpected downtime in industrial systems. This paper proposes a new rolling bearing fault diagnosis method by integrating the fine-to-coarse multiscale permutation entropy (F2CMPE), Laplacian score (LS) and support vector machine (SVM). A novel entropy measure, named F2CMPE, was proposed by calculating permutation entropy via multiple-scale fine-grained and coarse-grained signals based on the wavelet packet decomposition. The entropy measure estimates the complexity of time series from both low- and high-frequency components. Moreover, the F2CMPE mitigates the drawback of producing time series with sharply reduced data length via the coarse-grained procedure in the conventional composite multiscale permutation entropy (CMPE). The comparative performance of the F2CMPE and CMPE is investigated by analyzing the synthetic and experimental signals for entropy-based feature extraction. In the proposed bearing fault diagnosis method, the F2CMPE is first used to extract the entropy-based features from bearing vibration signals. Then, LS and SVM are used for selection of features and fault classification, respectively. Finally, the effectiveness of the proposed method is verified for rolling bearing fault diagnosis using experimental vibration data sets, and the results have demonstrated the capability of the proposed method to recognize and identify the bearing fault patterns under different fault states and severity levels.

Thin-walled workpieces frequently appear to chatter during milling, causing the creation of vibration patterns on the surface of the workpiece, which affects the machining quality and workpiece performance. Identification of online chatter is important for thin-walled parts. The vibration signal associated with chatter changes dynamically throughout the milling process due to changes in tool position, removal of workpiece material, and transmission-related vibration signal attenuation characteristics, making reliable chatter identification difficult. This research proposes a unique online chatter identification approach for the machining of thin-walled parts based on improved multi-sensor signal fusion and multi-scale entropy. In order to acquire the fused vibration signals, the vibration signals produced during the machining of thin-walled parts are first acquired by sensors at various test sites and adaptively given weight coefficients by the improved Hausdorff distance and distance factor. Second, using the multi-scale sample entropy (MSSE) and multi-scale weighted permutation entropy (MSWPE), the eigenvalues of the fused vibration signals are obtained. Finally, the trained Logistic regression (LR) classification model is used to determine the vibration status of thin-walled parts. The analysis’s results demonstrated that the technique can properly identify the vibration state of thin-walled parts, and that the fusion signal can reflect the vibration state at the tool contact site more accurately.

Quantifying the complexity of the EEG signal during prolonged wakefulness and during sleep is gaining interest as an additional mean to characterize the mechanisms associated with sleep and wakefulness regulation. Here, we characterized how EEG complexity, as indexed by Multiscale Permutation Entropy (MSPE), changed progressively in the evening prior to light off and during the transition from wakefulness to sleep. We further explored whether MSPE was able to discriminate between wakefulness and sleep around sleep onset and whether MSPE changes were correlated with spectral measures of the EEG related to sleep need during concomitant wakefulness (theta power-Ptheta: 4-8 Hz). To address these questions, we took advantage of large datasets of several hundred of ambulatory EEG recordings of individual of both sexes aged 25-101 years. Results show that MSPE significantly decreases before light off (i.e. before sleep time) and in the transition from wakefulness to sleep onset. Furthermore, MSPE allows for an excellent discrimination between pre-sleep wakefulness and early sleep. Finally, we show that MSPE is correlated with concomitant Ptheta. Yet, the direction of the latter correlation changed from before light-off to the transition to sleep. Given the association between EEG complexity and consciousness, MSPE may track efficiently putative changes in consciousness preceding sleep onset. An MSPE stands as a comprehensive measure that is not limited to a given frequency band and reflects a progressive change brain state associated with sleep and wakefulness regulation. It may be an effective mean to detect when the brain is in a state close to sleep onset.

A new rolling bearing fault diagnosis approach based on multiscale permutation entropy (MPE), Laplacian score (LS), and support vector machines (SVMs) is proposed in this paper. Permutation entropy (PE) was recently proposed and defined to measure the randomicity and detect dynamical changes of time series. However, for the complexity of mechanical systems, the randomicity and dynamic changes of the vibration signal will exist in different scales. Thus, the definition of MPE is introduced and employed to extract the nonlinear fault characteristics from the bearing vibration signal in different scales. Besides, the SVM is utilized to accomplish the fault feature classification to fulfill diagnostic procedure automatically. Meanwhile, in order to avoid a high dimension of features, the Laplacian score (LS) is used to refine the feature vector by ranking the features according to their importance and correlations with the main fault information. Finally, the rolling bearing fault diagnosis method based on MPE, LS, and SVM is proposed and applied to the experimental data. The experimental data analysis results indicate that the proposed method could identify the fault categories effectively.

Interacting price model and fluctuation behavior analysis from Lempel–Ziv complexity and multi-scale weighted-permutation entropy

Dynamic characteristics of absence EEG recordings with multiscale permutation entropy analysis

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.

Due to the complicated engineering operation of the check valve in a high−pressure diaphragm pump, its vibration signal tends to show non−stationary and non−linear characteristics. These leads to difficulty extracting fault features and, hence, a low accuracy for fault diagnosis. It is difficult to extract fault features accurately and reliably using the traditional MPE method, and the ELM model has a low accuracy rate in fault classification. Multi−scale weighted permutation entropy (MWPE) is based on extracting multi−scale fault features and arrangement pattern features, and due to the combination of extracting a sequence of amplitude features, fault features are significantly enhanced, which overcomes the deficiency of the single−scale permutation entropy characterizing the complexity of vibration signals. It establishes the check valve fault diagnosis model from the twin extreme learning machine (TELM). The TELM fault diagnosis model established, based on MWPE, aims to find a pair of non−parallel classification hyperplanes in the equipment state space to improve the model’s applicability. Experiments show that the proposed method effectively extracts the characteristics of the vibration signal, and the fault diagnosis model effectively identifies the fault state of the check valve with an accuracy rate of 97.222%.

Considering the diversity, complexity and uncertainty existing in bearing vibrations, an extended intelligent identification paradigm for bearing faults was proposed based on multiscale permutation entropy (MPE) and extension theory. MPE can reflect the random degree and detect the dynamic mutation of time series over subsequent scales, while extension theory provides an approach to address the extensibility and regularity of complicated problems. In the present paradigm, MPE was employed to compute the entropies over multiple scales as an original feature vector to represent bearing vibrations, which were then graded using Fisher ratio to choose the most informative features. The chosen features were exploited to determine the classical domain and joint domain of matter elements associated with various bearing health conditions. Bearing fault pattern was assigned to the one with maximum dependence degree among the afore-constructed matter elements. An experiment was conducted on an electrical motor involving four bearing conditions including normal, inner race, outer race and rolling element faults. The test was repeated 100 times with an averaged rate of 92.2% by the proposed method which outperforms the method using multiscale sample entropy and extension theory.