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Permutation approach to finite-alphabet stationary stochastic processes based on the duality between values and orderings

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  • Theoretical Aspects II: Coupling
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Abstract

The duality between values and orderings is a powerful tool to discuss relationships between various information-theoretic measures and their permutation analogues for discrete-time finite-alphabet stationary stochastic processes (SSPs). Applying it to output processes of hidden Markov models with ergodic internal processes, we have shown in our previous work that the excess entropy and the transfer entropy rate coincide with their permutation analogues. In this paper, we discuss two permutation characterizations of the two measures for general ergodic SSPs not necessarily having the Markov property assumed in our previous work. In the first approach, we show that the excess entropy and the transfer entropy rate of an ergodic SSP can be obtained as the limits of permutation analogues of them for the N-th order approximation by hidden Markov models, respectively. In the second approach, we employ the modified permutation partition of the set of words which considers equalities of symbols in addition to permutations of words. We show that the excess entropy and the transfer entropy rate of an ergodic SSP are equal to their modified permutation analogues, respectively.

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Authors and Affiliations

  1. Department of Earth & Planetary Sciences, Graduate School of Science, Kobe University, 1-1 Rokkodaicho, Nada, Kobe, 657-8501, Japan

    T. Haruna

  2. Department of Mechanical and Process Engineering, ETH Zurich, Leonhardstrasse 27, 8092, Zurich, Switzerland

    K. Nakajima

Authors
  1. T. Haruna
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  2. K. Nakajima
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Correspondence to T. Haruna.

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Haruna, T., Nakajima, K. Permutation approach to finite-alphabet stationary stochastic processes based on the duality between values and orderings. Eur. Phys. J. Spec. Top. 222, 383–399 (2013). https://doi.org/10.1140/epjst/e2013-01848-5

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  • DOI: https://doi.org/10.1140/epjst/e2013-01848-5

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