Measuring dynamical uncertainty with Revealed Dynamics Markov Models

• Main Authors: Bramson, Aaron, Baland, Adrien, Iriki, Atsushi
• Other Authors: Lee Kong Chian School of Medicine (LKCMedicine)
• Format: Article
• Language: English
• Published: 2020
• Subjects: Science::Mathematics; Time Series; Entropy
• Online Access: https://hdl.handle.net/10356/145456
• Institution: Nanyang Technological University

Concepts and measures of time series uncertainty and complexity have been applied across domains for behavior classification, risk assessments, and event detection/prediction. This paper contributes three new measures based on an encoding of the series' phase space into a descriptive Markov mod...