Influence of noise on the sample entropy algorithm

Abstract

We study the effect of static additive noise on the sample entropy (SampEn) algorithm [J. S. Richman and J. R. Moorman, Am. J. Physiol. Heart Circ. Physiol. 278, 2039 (2000); R. B. Govindan et al., Physica A 376, 158 (2007)] for analyzing time series. Using surrogate data tests, we empirically investigate the ability of the SampEn index to detect nonlinearity in simulated time series corrupted by increased amounts of noise. Discrete and continuous chaotic and nonchaotic systems are included in the numerical experiments. Both Gaussian and uniformly distributed noises are considered. The results indicate that the SampEn statistic is a robust index for detecting nonlinearity in time series corrupted by observational noise.