Relative consistency of sample entropy is not preserved in MIX processes

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Abstract

Relative consistency is a notion related to entropic parameters, most notably to Approximate Entropy and Sample Entropy. It is a central characteristic assumed for e.g., biomedical and economic time series, since it allows the comparison between different time series at a single value of the threshold parameter r. There is no formal proof for this property, yet it is generally accepted that it is true. Relative consistency in both Approximate Entropy and Sample entropy was first tested with the MIX process. In the seminal paper by Richman and Moorman, it was shown that Approximate Entropy lacked the property for cases in which Sample Entropy did not. In the present paper, we show that relative consistency is not preserved for MIX processes if enough noise is added, yet it is preserved for another process for which we define a sum of a sinusoidal and a stochastic element, no matter how much noise is present. The analysis presented in this paper is only possible because of the existence of the very fast NCM algorithm for calculating correlation sums and thus also Sample Entropy.

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Zurek, S., Grabowski, W., Wojtiuk, K., Szewczak, D., Guzik, P., & Piskorski, J. (2020). Relative consistency of sample entropy is not preserved in MIX processes. Entropy, 22(6). https://doi.org/10.3390/E22060694

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