Mutual information-entropy plane: a new quantifier space for time series analysis

Abstract

This work presents a new two-dimensional quantifier plane that combines normalized permutation entropy and normalized permutation mutual information, both derived from Shannon's information theory and normalized consistently through the embedding dimension of the Bandt and Pompe method. Each point on the plane simultaneously characterizes the intrinsic uncertainty of a variable and the amount of information it shares with another. We further show that a third quantity, equivalent to the conditional entropy of one variable given the other, introduces a notion of informational independence and, when both projections of a variable pair are considered jointly, reveals directionality between them. We analyze regular, chaotic, and stochastic dynamics to illustrate the relevance of the informational plane and show how these regimes evolve as a function of a coupling factor.