We introduce complexity parameters for time series based on comparison of neighboring values. The definition directly applies to arbitrary real-world data. For some well-known chaotic dynamical systems it is shown that our complexity behaves similar to Lyapunov exponents, and is particularly useful in the presence of dynamical or observational noise. The advantages of our method are its simplicity, extremely fast calculation, robustness, and invariance with respect to nonlinear monotonous transformations.

We propose a method to discover couplings in multivariate time series, based on partial mutual information, an information-theoretic generalization of partial correlation. It represents the part of mutual information of two random quantities that is not contained in a third one. By suitable choice of the latter, we can differentiate between direct and indirect interactions and derive an appropriate graphical model. An efficient estimator for partial mutual information is presented as well.

For piecewise monotone interval maps, we show that the Kolmogorov-Sinai entropy can be obtained from order statistics of the values in a generic orbit. A similar statement holds for topological entropy.

We propose a method to analyze couplings between two simultaneously measured time series. Our approach is based on conditional mutual sorting information. It is related to other concepts for detecting coupling directions: the old idea of Marko for directed information and the more recent concept of Schreiber's transfer entropy. By setting suitable conditions we first of all consider momentary information in both time series. This enables the detection not only of coupling directions but also delays. Sorting information refers to ordinal properties of time series, which makes the analysis robust with respect to strictly monotonous distortions and thus very useful in the analysis of proxy data in climatology. Fortunately, ordinal analysis is easy and fast to compute. We consider also the problem of reliable estimation from finite time series.

The relevance of the complexity of fetal heart rate fluctuations with regard to the classification of fetal behavioural states has not been satisfyingly clarified so far. Because of the short behavioural states, the permutation entropy provides an advantageous complexity estimation leading to the Kullback-Leibler entropy (KLE). We test the hypothesis that parameters derived from KLE can improve the classification of fetal behaviour states based on classical heart rate fluctuation parameters (SDNN, RMSSD, ln(LF), ln(HF)). From measured heartbeat sequences (35 healthy fetuses at a gestational age between 35 and 40 completed weeks) representative intervals of 256 heartbeats were visually preclassified into fetal behavioural states. Employing discriminant analysis to separate the states 1F, 2F and 4F, the best classification result by classical parameters was 80.0% (SDNN). After additionally considering KLE parameters it was improved significantly (p<0.0005) to 94.3% (ln(LF), KLE_Mean). It could be confirmed that KLE can improve the state classification. This might reflect the consideration of different physiological aspects by classical and complexity measures.