Multiscale entropy (MSE) analysis was introduced in the 2002 to evaluate the complexity of a time series by quantifying its entropy over a range of temporal scales. The algorithm has been successfully applied in different research fields. Since its introduction, a number of modifications and refinements have been proposed, some aimed at increasing the accuracy of the entropy estimates, others at exploring alternative coarse-graining procedures. In this review, we first describe the original MSE algorithm. Then, we review algorithms that have been introduced to improve the estimation of MSE. We also report a recent generalization of the method to higher moments.
Humeau-Heurtier, A. (2015). The multiscale entropy algorithm and its variants: A review. Entropy. MDPI AG. https://doi.org/10.3390/e17053110