Graph-Based Multivariate Multiscale Dispersion Entropy: Efficient Implementation and Applications to Real-World Network Data

We introduce Multivariate Multiscale Graph-based Dispersion Entropy (mvDEG), a novel, computationally efficient method for analysing multivariate time series data in graph and complex network frameworks, and demonstrate its application in real-world data. mvDEG effectively combines temporal dynamics with topological relationships, offering enhanced analysis compared to traditional nonlinear entropy methods. Its efficacy is established through testing on synthetic signals, such as uncorrelated and correlated noise, showcasing its adeptness in discerning various levels of dependency and complexity. The robustness of mvDEG is further validated with real-world datasets, effectively differentiating various two-phase flow regimes and capturing distinct dynamics in weather data analysis. An important advancement of mvDEG is its computational efficiency. Our optimized algorithm displays a computational time that grows linearly with the number of vertices or nodes, in contrast to the exponential growth observed in classical methods. This efficiency is achieved through refined matrix power calculations that exploit matrix and Kronecker product properties, making our method faster than the state of the art. The significant acceleration in computational time positions mvDEG as a transformative tool for extensive and real-time applications, setting a new benchmark in the analysis of time series recorded at distributed locations and opening avenues for innovative applications.

John Stewart Fabila-Carrasco, Chao Tan, Javier Escudero