permutation-entropy-12.13.18

GAUSS blog: Permutation Entropy

This code accompanies the Aptech blog Permutation entropy which was published on 12/14/2018.

Getting Started

Prerequisites

The program files require a working copy of GAUSS 18+. Many can be run on earlier versions with some small revisions.

In addition it requires the pe library included in this repository.

The pe library includes:

1. The original permutation entropy source code.
2. All data files used in the Aptech blog.
3. All program files for replicating the examples in the Aptech blog.

Installing

The pe library can be easily installed using the GAUSS Application Installer, as shown below:

1. Download the zipped folder pe.zip.
2. Use the GAUSS Application Installer by selecting Tools>Install Application.
3. Before using the functions created by pe you will need to load the newly created pe library. This can be done in a number of ways:

• Navigate to the library tool view window and click the small wrench located next to the pe library. Select Load Library.
• Enter library pe on the command line.
• Put the line library pe; at the beginning of your program files.

Data

The data used in the blog is contained in two files

1. djia_1901to2018.csv - This contains the daily Dow Jones Industrial Average from 1901 to 2018.
2. segmented_djia.dat - This contains to the DJIA data in djia_1901to2018.csv segmented for the rolling window permutation entropy estimation.

Example files

Three program files are included:

1. blog1_example.e - This file contains the GAUSS code to compute the permutation entropy.
2. segment_data.e - This file contains the GAUSS code to segment the DJIA data prior to running the rolling window permutation entropy estimation.
3. tventropy.e - This file contains the GAUSS code to compute the rolling window permutation entropy.

Note: All data files and program files for the blog will be installed in with the pe library in the gaussHome > pkgs > pe > examples directory.

Authors

Erica Clower
Aptech Systems, Inc