Modelling Loss of Complexity in Intermittent Time Series and its Application

In this paper, we developed a nonparametric relative entropy (RlEn) for modelling loss of complexity in intermittent time series. This technique consists of two steps. First, we carry out a nonlinear autoregressive model where the lag order is determined by a Bayesian Information Criterion (BIC), and complexity of each intermittent time series is obtained by our novel relative entropy. Second, change-points in complexity were detected by using the cumulative sum (CUSUM) based method. Using simulations and compared to the popular method appropriate entropy (ApEN), the performance of RlEn was assessed for its (1) ability to localise complexity change-points in intermittent time series; (2) ability to faithfully estimate underlying nonlinear models. The performance of the proposal was then examined in a real analysis of fatigue-induced changes in the complexity of human motor outputs. The results demonstrated that the proposed method outperformed the ApEn in accurately detecting complexity changes in intermittent time series segments.