The permutation entropy rate equals the metric entropy rate for ergodic information sources and ergodic dynamical systems

Abstract

Permutation entropy quantifies the diversity of possible orderings of the values a random or deterministic system can take, as Shannon entropy quantifies the diversity of values. We show that the metric and permutation entropy rates--measures of new disorder per new observed value--are equal for ergodic finite-alphabet information sources (discrete-time stationary stochastic processes). With this result, we then prove that the same holds for deterministic dynamical systems defined by ergodic maps on $n$% -dimensional intervals. This result generalizes a previous one for piecewise monotone interval maps on the real line (Bandt, Keller and Pompe, "Entropy of interval maps via permutations",\textit{Nonlinearity} \textbf{15}, 1595-602, (2002)), at the expense of requiring ergodicity and using a definition of permutation entropy rate differing in the order of two limits. The case of non-ergodic finite-alphabet sources is also studied and an inequality developed. Finally, the equality of permutation and metric entropy rates is extended to ergodic non-discrete information sources when entropy is replaced by differential entropy in the usual way.