GAUSS blog: Permutation Entropy
This code accompanies the Aptech blog Permutation entropy which was published on 12/14/2018.
The program files require a working copy of GAUSS 18+. Many can be run on earlier versions with some small revisions.
In addition it requires the pe library included in this repository.
The pe library includes:
- The original permutation entropy source code.
- All data files used in the Aptech blog.
- All program files for replicating the examples in the Aptech blog.
The pe library can be easily installed using the GAUSS Application Installer, as shown below:
- Download the zipped folder pe.zip.
- Use the GAUSS Application Installer by selecting Tools>Install Application.
- Before using the functions created by pe you will need to load the newly created pe library. This can be done in a number of ways:
- Navigate to the library tool view window and click the small wrench located next to the pe library. Select Load Library.
library peon the command line.
- Put the line
library pe;at the beginning of your program files.
The data used in the blog is contained in two files
- djia_1901to2018.csv - This contains the daily Dow Jones Industrial Average from 1901 to 2018.
- segmented_djia.dat - This contains to the DJIA data in djia_1901to2018.csv segmented for the rolling window permutation entropy estimation.
Three program files are included:
- blog1_example.e - This file contains the GAUSS code to compute the permutation entropy.
- segment_data.e - This file contains the GAUSS code to segment the DJIA data prior to running the rolling window permutation entropy estimation.
- tventropy.e - This file contains the GAUSS code to compute the rolling window permutation entropy.
Note: All data files and program files for the blog will be installed in with the pe library in the gaussHome > pkgs > pe > examples directory.