The Multiscale Entropy Algorithm and Its Variants: A Review

• Main Author: Anne Humeau-Heurtier
• Format: Article
• Language: English
• Published: MDPI AG 2015-05-01
• Series: Entropy
• Subjects: entropy; complexity; nonlinear dynamics; multiscale entropy; refined multiscale entropy; composite multiscale entropy; generalized multiscale entropy; intrinsic mode entropy; hierarchical entropy; fuzzy sample entropy
• Online Access: http://www.mdpi.com/1099-4300/17/5/3110

Multiscale entropy (MSE) analysis was introduced in the 2002 to evaluate the complexity of a time series by quantifying its entropy over a range of temporal scales. The algorithm has been successfully applied in different research fields. Since its introduction, a number of modifications and refinements have been proposed, some aimed at increasing the accuracy of the entropy estimates, others at exploring alternative coarse-graining procedures. In this review, we first describe the original MSE algorithm. Then, we review algorithms that have been introduced to improve the estimation of MSE. We also report a recent generalization of the method to higher moments.