Multiscale transfer entropy: Measuring information transfer on multiple time scales

Author(s):  
Xiaojun Zhao ◽  
Yupeng Sun ◽  
Xuemei Li ◽  
Pengjian Shang
Author(s):  
Milan Paluš

Complex systems such as the human brain or the Earth's climate consist of many subsystems interacting in intricate, nonlinear ways. Moreover, variability of such systems extends over broad ranges of spatial and temporal scales and dynamical phenomena on different scales also influence each other. In order to explain how to detect cross-scale causal interactions, we review information-theoretic formulation of the Granger causality in combination with computational statistics (surrogate data method) and demonstrate how this method can be used to infer driver-response relations from amplitudes and phases of coupled nonlinear dynamical systems. Considering complex systems evolving on multiple time scales, the reviewed methodology starts with a wavelet decomposition of a multi-scale signal into quasi-oscillatory modes of a limited bandwidth, described using their instantaneous phases and amplitudes. Then statistical associations, in particular, causality relations between phases or between phases and amplitudes on different time scales are tested using the conditional mutual information. As an application, we present the analysis of cross-scale interactions and information transfer in the dynamics of the El Niño Southern Oscillation. This article is part of the theme issue ‘Coupling functions: dynamical interaction mechanisms in the physical, biological and social sciences’.


2020 ◽  
Vol 23 (05) ◽  
pp. 2050014
Author(s):  
JINGLAN ZHENG ◽  
CHUN-XIAO NIE

This study examines the information flow between prices and transaction volumes in the cryptocurrency market, where transfer entropy is used for measurement. We selected four cryptocurrencies (Bitcoin, Ethereum, Litecoin and XRP) with large market values, and Bitcoin and BCH (Bitcoin Cash) for hard fork analysis; a hard fork is when a single cryptocurrency splits in two. By examining the real price data, we show that the long-term time series includes too much noise obscuring the local information flow; thus, a dynamic calculation is needed. The long-term and short-term sliding transfer entropy (TE) values and the corresponding [Formula: see text]-values, based on daily data, indicate that there is a dynamic information flow. The dominant direction of which is [Formula: see text]. In addition, the example based on minute Bitcoin data also shows a dynamic flow of information between price and transaction volume. The price–volume dynamics of multiple time scales helps to analyze the price mechanism in the cryptocurrency market.


2018 ◽  
Author(s):  
Yan Liang ◽  
◽  
Daniele J. Cherniak ◽  
Chenguang Sun

2019 ◽  
Vol 11 (4) ◽  
pp. 1163 ◽  
Author(s):  
Melissa Bedinger ◽  
Lindsay Beevers ◽  
Lila Collet ◽  
Annie Visser

Climate change is a product of the Anthropocene, and the human–nature system in which we live. Effective climate change adaptation requires that we acknowledge this complexity. Theoretical literature on sustainability transitions has highlighted this and called for deeper acknowledgment of systems complexity in our research practices. Are we heeding these calls for ‘systems’ research? We used hydrohazards (floods and droughts) as an example research area to explore this question. We first distilled existing challenges for complex human–nature systems into six central concepts: Uncertainty, multiple spatial scales, multiple time scales, multimethod approaches, human–nature dimensions, and interactions. We then performed a systematic assessment of 737 articles to examine patterns in what methods are used and how these cover the complexity concepts. In general, results showed that many papers do not reference any of the complexity concepts, and no existing approach addresses all six. We used the detailed results to guide advancement from theoretical calls for action to specific next steps. Future research priorities include the development of methods for consideration of multiple hazards; for the study of interactions, particularly in linking the short- to medium-term time scales; to reduce data-intensivity; and to better integrate bottom–up and top–down approaches in a way that connects local context with higher-level decision-making. Overall this paper serves to build a shared conceptualisation of human–nature system complexity, map current practice, and navigate a complexity-smart trajectory for future research.


2021 ◽  
Vol 40 (9) ◽  
pp. 2139-2154
Author(s):  
Caroline E. Weibull ◽  
Paul C. Lambert ◽  
Sandra Eloranta ◽  
Therese M. L. Andersson ◽  
Paul W. Dickman ◽  
...  

Author(s):  
Jia-Rong Yeh ◽  
Chung-Kang Peng ◽  
Norden E. Huang

Multi-scale entropy (MSE) was developed as a measure of complexity for complex time series, and it has been applied widely in recent years. The MSE algorithm is based on the assumption that biological systems possess the ability to adapt and function in an ever-changing environment, and these systems need to operate across multiple temporal and spatial scales, such that their complexity is also multi-scale and hierarchical. Here, we present a systematic approach to apply the empirical mode decomposition algorithm, which can detrend time series on various time scales, prior to analysing a signal’s complexity by measuring the irregularity of its dynamics on multiple time scales. Simulated time series of fractal Gaussian noise and human heartbeat time series were used to study the performance of this new approach. We show that our method can successfully quantify the fractal properties of the simulated time series and can accurately distinguish modulations in human heartbeat time series in health and disease.


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