Miśkiewicz, Janusz - In: Physica A: Statistical Mechanics and its Applications 389 (2010) 8, pp. 1677-1687
The idea of entropy was introduced in thermodynamics, but it can be used in time series analysis. There are various … ways to define and measure the entropy of a system. Here the so called Theil index, which is often used in economy and … finance, is applied as it were an entropy measure. In this study the time series are remapped through the Theil index. Then …