Variance of permutation entropy and the influence of ordinal pattern selection

Permutation entropy analysis of EEG signals for distinguishing eyes-open and eyes-closed brain states: Comparison of different approaches

Developing reliable methodologies to decode brain state information from electroencephalogram (EEG) signals is an open challenge, crucial to implementing EEG-based brain-computer interfaces (BCIs). For example, signal processing methods that identify brain states could allow motor-impaired patients to communicate via non-invasive, EEG-based BCIs. In this work, we focus on the problem of distinguishing between the states of eyes closed (EC) and eyes open (EO), employing quantities based on permutation entropy (PE). An advantage of PE analysis is that it uses symbols (ordinal patterns) defined by the ordering of the data points (disregarding the actual values), hence providing robustness to noise and outliers due to motion artifacts. However, we show that for the analysis of multichannel EEG recordings, the performance of PE in discriminating the EO and EC states depends on the symbols' definition and how their probabilities are estimated. Here, we study the performance of PE-based features for EC/EO state classification in a dataset of N=107 subjects with one-minute 64-channel EEG recordings in each state. We analyze features obtained from patterns encoding temporal or spatial information, and we compare different approaches to estimate their probabilities (by averaging over time, over channels, or by "pooling"). We find that some PE-based features provide about 75% classification accuracy, comparable to the performance of features extracted with other statistical analysis techniques. Our work highlights the limitations of PE methods in distinguishing the eyes' state, but, at the same time, it points to the possibility that subject-specific training could overcome these limitations.

A combinatorial view of stochastic processes: White noise

White noise is a fundamental and fairly well understood stochastic process that conforms to the conceptual basis for many other processes, as well as for the modeling of time series. Here, we push a fresh perspective toward white noise that, grounded on combinatorial considerations, contributes to giving new interesting insights both for modeling and theoretical purposes. To this aim, we incorporate the ordinal pattern analysis approach, which allows us to abstract a time series as a sequence of patterns and their associated permutations, and introduce a simple functional over permutations that partitions them into classes encoding their level of asymmetry. We compute the exact probability mass function (p.m.f.) of this functional over the symmetric group of degree n, thus providing the description for the case of an infinite white noise realization. This p.m.f. can be conveniently approximated by a continuous probability density from an exponential family, the Gaussian, hence providing natural sufficient statistics that render a convenient and simple statistical analysis through ordinal patterns. Such analysis is exemplified on experimental data for the spatial increments from tracks of gold nanoparticles in 3D diffusion.

Estimating Permutation Entropy Variability via Surrogate Time Series

In the last decade permutation entropy (PE) has become a popular tool to analyze the degree of randomness within a time series. In typical applications, changes in the dynamics of a source are inferred by observing changes of PE computed on different time series generated by that source. However, most works neglect the crucial question related to the statistical significance of these changes. The main reason probably lies in the difficulty of assessing, out of a single time series, not only the PE value, but also its uncertainty. In this paper we propose a method to overcome this issue by using generation of surrogate time series. The analysis conducted on both synthetic and experimental time series shows the reliability of the approach, which can be promptly implemented by means of widely available numerical tools. The method is computationally affordable for a broad range of users.

Permutation Jensen-Shannon distance: A versatile and fast symbolic tool for complex time-series analysis

The main motivation of this paper is to introduce the permutation Jensen-Shannon distance, a symbolic tool able to quantify the degree of similarity between two arbitrary time series. This quantifier results from the fusion of two concepts, the Jensen-Shannon divergence and the encoding scheme based on the sequential ordering of the elements in the data series. The versatility and robustness of this ordinal symbolic distance for characterizing and discriminating different dynamics are illustrated through several numerical and experimental applications. Results obtained allow us to be optimistic about its usefulness in the field of complex time-series analysis. Moreover, thanks to its simplicity, low computational cost, wide applicability, and less susceptibility to outliers and artifacts, this ordinal measure can efficiently handle large amounts of data and help to tackle the current big data challenges.

Asymptotic distribution of sample Shannon entropy in the case of an underlying finite, regular Markov chain

The inference of Shannon entropy out of sample histograms is known to be affected by systematic and random errors that depend on the finite size of the available data set. This dependence was mostly investigated in the multinomial case, in which states are visited in an independent fashion. In this paper the asymptotic behavior of the distribution of the sample Shannon entropy, also referred to as plug-in estimator, is investigated in the case of an underlying finite Markov process characterized by a regular stochastic matrix. As the size of the data set tends to infinity, the plug-in estimator is shown to become asymptotically normal, though in a way that substantially deviates from the known multinomial case. The asymptotic behavior of bias and variance of the plug-in estimator are expressed in terms of the spectrum of the stochastic matrix and of the related covariance matrix. Effects of initial conditions are also considered. By virtue of the formal similarity with Shannon entropy, the results are directly applicable to the evaluation of permutation entropy.

Forecasting Events in the Complex Dynamics of a Semiconductor Laser with Optical Feedback

Complex systems performing spiking dynamics are widespread in Nature. They cover from earthquakes, to neurons, variable stars, social networks, or stock markets. Understanding and characterizing their dynamics is relevant in order to detect transitions, or to predict unwanted extreme events. Here we study, under an ordinal patterns analysis, the output intensity of a semiconductor laser with feedback in a regime where it develops a complex spiking behavior. We unveil that, in the transitions towards and from the spiking regime, the complex dynamics presents two competing behaviors that can be distinguished with a thresholding method. Then we use time and intensity correlations to forecast different types of events, and transitions in the dynamics of the system.

Characterizing Complex Dynamics in the Classical and Semi-Classical Duffing Oscillator Using Ordinal Patterns Analysis

The driven double-well Duffing oscillator is a well-studied system that manifests a wide variety of dynamics, from periodic behavior to chaos, and describes a diverse array of physical systems. It has been shown to be relevant in understanding chaos in the classical to quantum transition. Here we explore the complexity of its dynamics in the classical and semi-classical regimes, using the technique of ordinal pattern analysis. This is of particular relevance to potential experiments in the semi-classical regime. We unveil different dynamical regimes within the chaotic range, which cannot be detected with more traditional statistical tools. These regimes are characterized by different hierarchies and probabilities of the ordinal patterns. Correlation between the Lyapunov exponent and the permutation entropy is revealed that leads us to interpret dips in the Lyapunov exponent as transitions in the dynamics of the system.