Measuring dynamical uncertainty with revealed dynamics Markov models Universiteit Gent
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 model. Here we describe constructing this kind of "Revealed Dynamics Markov Model" (RDMM) and using it to calculate the three uncertainty measures: entropy, ...