statcomp (version 0.0.1.1000)

jensen_shannon_divergence: Generalized disequilibrium measure for ordinal pattern distributions based on the Jensen-Shannon Divergence

Description

Computes a normalized form of the Jensen-Shannon Divergence

Usage

jensen_shannon_divergence(p, q="unif")

Arguments

p

An ordinal pattern distribution

q

A second ordinal pattern distribution to compare against p, or a character vector q="unif" (comparison of p to uniform distribution)

Value

A vector of length 1.

Details

This function returns a distance measure.

References

Martin, M.T., Plastino, A. and Rosso, O.A., 2006. Generalized statistical complexity measures: Geometrical and analytical properties. Physica A: Statistical Mechanics and its Applications, 369(2), pp.439-462.

Examples

p = ordinal_pattern_distribution(rnorm(10000), ndemb = 5)
q = ordinal_pattern_distribution(arima.sim(model=list(ar=0.9), n= 10000), ndemb = 5)
jensen_shannon_divergence(p = p, q = q)