An increasing number of studies across many research fields from biomedical engineering to finance are employing measures of entropy to quantify the regularity, variability or randomness of time series and image data. Entropy, as it relates to information theory and dynamical systems theory, can be estimated in many ways, with newly developed methods being continuously introduced in the scientific literature. Despite the growing interest in entropic time series and image analysis, there is a shortage of validated, open-source software tools that enable researchers to apply these methods. To date, packages for performing entropy analysis are often run using graphical user interfaces, lack the necessary supporting documentation, or do not include functions for more advanced entropy methods, such as cross-entropy, multiscale cross-entropy or bidimensional entropy. In light of this, this paper introduces EntropyHub, an open-source toolkit for performing entropic time series analysis in MATLAB, Python and Julia. EntropyHub (version 0.1) provides an extensive range of more than forty functions for estimating cross-, multiscale, multiscale cross-, and bidimensional entropy, each including a number of keyword arguments that allows the user to specify multiple parameters in the entropy calculation. Instructions for installation, descriptions of function syntax, and examples of use are fully detailed in the supporting documentation, available on the EntropyHub website– www.EntropyHub.xyz. Compatible with Windows, Mac and Linux operating systems, EntropyHub is hosted on GitHub, as well as the native package repository for MATLAB, Python and Julia, respectively. The goal of EntropyHub is to integrate the many established entropy methods into one complete resource, providing tools that make advanced entropic time series analysis straightforward and reproducible.
Citation: Flood MW, Grimm B (2021) EntropyHub: An open-source toolkit for entropic time series analysis. PLoS ONE 16(11): e0259448. https://doi.org/10.1371/journal.pone.0259448
Editor: Mashallah Rezakazemi, Shahrood University of Technology, ISLAMIC REPUBLIC OF IRAN
Received: July 1, 2021; Accepted: October 18, 2021; Published: November 4, 2021
Copyright: © 2021 Flood, Grimm. This is an open access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited.
Data Availability: No data is related to the present manuscript.
Funding: This research was funded by the Luxembourg Institute of Health (https://www.lih.lu). The funders had no role in study design, data collection and analysis, decision to publish, or preparation of the manuscript.
Competing interests: The authors have declared that no competing interests exist.
Through the lens of probability, information and uncertainty can be viewed as conversely related—the more uncertainty there is, the more information we gain by removing that uncertainty. This is the principle behind Shannon’s formulation of entropy (1) which quantifies uncertainty as it pertains to random processes : (1) where H(X) is the entropy (H) of a sequence (X) given the probabilities (p) of states (xi). An extension of Shannon’s entropy, conditional entropy (2) measures the information gained about a process (X) conditional on prior information given by a process Y, (2) where y may represent states of a separate system or previous states of the same system. Numerous variants have since been derived from conditional entropy, and to a lesser extent Shannon’s entropy, to estimate the information content of time series data across various scientific domains , resulting in what has recently been termed “the entropy universe” . This universe of entropies continues to expand as more and more methods are derived with improved statistical properties over their precursors, such as robustness to short signal lengths [4–7], resilience to noise [8–10], insensitivity to amplitude fluctuations [11–13]. Furthermore, new entropy variants are being identified which quantify the variability of time series data in specific applications, including assessments of cardiac disease from electrocardiograms [14–16], and examinations of machine failure from vibration signals [17, 18].
As the popularity of entropy spreads beyond the field of mathematics to subjects ranging from neurophysiology [19–23] to finance [24–27], there is an emerging demand for software packages with which to perform entropic time series analysis. Open-source software plays a critical role in tackling the replication crisis in science by providing validated algorithmic tools that are available to all researchers [28, 29]. Without access to these software tools, researchers lacking computer programming literacy may resort to borrowing algorithms from unverified sources which could be vulnerable to coding errors. Furthermore, software packages often serve as entry points for researchers unfamiliar with a subject to develop an understanding of the most commonly used methods and how they are applied. This point is particularly relevant in the context of entropy, a concept that is often misinterpreted [3, 30, 31], and where the name and number variant methods may be difficult to follow. For example, derivatives of the original sample entropy algorithm , already an improvement on approximate entropy , include modified sample entropy (fuzzy entropy) , multiscale (sample) entropy , composite multiscale entropy , refined multiscale entropy , and refined-composite multiscale entropy .
Several packages offering entropy-related functions have been released in recent years [37–39], intended primarily for the analysis of physiological data, Table 1. Although these packages offer some useful tools, they lack the capacity to perform extensive data analysis with multiple methods from the cross-entropy , bidimensional entropy , and multiscale entropy  families of algorithms. Additionally, the utility of these packages is also limited for several reasons. The CEPS , EZ Entropy  and PyBioS  packages all operate through graphical user interfaces (GUIs) with facilities to plot and process data interactively. The interactive nature of GUIs can be beneficial when analysing small datasets but becomes burdensome when analysing large datasets where automated processing tasks are advantageous. Both the CEPS  and EZ Entropy  are designed for the MATLAB programming environment (MathWorks, MA, USA) which requires a purchased license in order to use. This paywall prevents many users from accessing the software and consequently impedes the replication of results achieved by using these packages. Neither PyBioS nor EZ Entropy have accompanying documentation to describe how to use the software, and neither toolbox is hosted on the native package repository for MATLAB (MathWorks File Exchange) or Python (PyPi), which facilitate direct and simplified installation and updating.
Against this background, this paper introduces EntropyHub, an open-source toolkit for entropic time series analysis in the MATLAB, Python  and Julia  programming environments. Incorporating entropy estimators from information theory, probability theory and dynamical systems theory, EntropyHub features a wide range of functions to calculate the entropy of, and the cross-entropy between, univariate time series data. In contrast to other entropy-focused toolboxes, EntropyHub runs from the command line without the use of a GUI and provides many new benefits, including:
- ■ Functions to perform refined, composite, refined-composite and hierarchical multiscale entropy analysis using more than twenty-five different entropy and cross-entropy estimators (approximate entropy, cross-sample entropy, etc).
- ■ Functions to calculate bidimensional entropies from two-dimensional (image) data.
- ■ An extensive range of function arguments to specify additional parameter values in the entropy calculation, including options for time-delayed state-space reconstruction and entropy value normalisation where possible.
- ■ Availability in multiple programming languages–MATLAB, Python, Julia–to enable open-source access and provide cross-platform translation of methods through consistent function syntax. To the best of the Authors’ knowledge, this is the first entropy-specific toolkit for the Julia language.
- ■ Compatible with both Windows, Mac and Linux operating systems.
- ■ Comprehensive documentation describing installation, function syntax, examples of use, and references to source literature. Documentation is available online at www.EntropyHub.xyz (or at MattWillFlood.github.io/EntropyHub), where it can also be downloaded as a booklet (EntropyHub Guide.pdf). Documentation specific to the MATLAB edition can also be found in the ‘supplemental software’ section of the MATLAB help browser after installation. Documentation specific to the Julia edition can also be found at MattWillFlood.github.io/EntropyHub.jl/stable.
- ■ Hosting on the native package repositories for MATLAB (MathWorks File Exchange), Python (PyPi) and Julia (Julia General Registry), to facilitate straightforward downloading, installation and updating. The latest development releases can also be downloaded from the EntropyHub GitHub repository - www.github.com/MattWillFlood/EntropyHub.
As new measures enter the ever-growing entropy universe, EntropyHub aims to incorporate these measures accordingly. EntropyHub is licensed under the Apache license (version 2.0) and is available for use by all on condition that the present paper by cited on any scientific outputs realised using the EntropyHub toolkit.
The following sections of the paper outline the toolkit contents, steps for installing and accessing documentation.
Toolkit contents and functionality
Functions in the EntropyHub toolkit fall into five categories. The first three categories—Base, Cross and Bidimensional—refer to standalone entropy estimators distinguished according to the type of input data they analyse.
- ■ Base functions return the entropy of a single univariate time series, e.g. sample entropy (SampEn), bubble entropy (BubbEn), phase entropy (PhasEn), etc.
- ■ Cross functions return the cross-entropy between two univariate time series, e.g. cross-fuzzy entropy (XFuzzEn), cross-permutation entropy (XPermEn), etc.
- ■ Bidimensional functions return the entropy from a univariate, two-dimensional data matrix, e.g. bidimensional distribution entropy (DistEn2D), etc.
The remaining two categories–Multiscale and Multiscale Cross–relate to multiscale entropy methods using the entropy estimators from the Base and Cross categories, respectively.
- ■ Multiscale functions return the multiscale entropy of a single univariate time series, calculated using any of the Base entropy estimators,
■ e.g. multiscale entropy (MSEn), composite multiscale entropy (cMSEn), etc.
- ■ Multiscale Cross functions return the multiscale cross-entropy between two univariate time series calculated using any of the Cross entropy estimators,
■ e.g. cross-multiscale entropy (XMSEn), refined multiscale cross-entropy (rXMSEn), etc.
A list of all functions available in version 0.1 of the EntropyHub toolkit is provided in Table 2. As more entropy methods are identified, these will be added to newer versions of the toolkit.
One of the main advantages of EntropyHub is the ability to specify numerous parameters used in the entropy calculation by entering optional keyword function arguments. The default value of each keyword argument is based on the value proposed in the original source literature for that method. However, blindly analysing time series data using these arguments is strongly discouraged. Drawing conclusions about data based on entropy values is only valid when the parameters used to calculate those values accurately capture the underlying dynamics of the data.
With certain Base and Cross functions, it is possible to calculate entropy using variant methods of the main estimator. For example, with the function for permutation entropy (PermEn) one can calculate the edge , weighted , amplitude-aware , modified , fine-grained , and uniform-quantization  permutation entropy variants, in addition to the original method introduced by Bandt and Pompe . It is important to note that while the primary variable returned by each function is the estimated entropy value, most functions provide secondary and tertiary variables that may be of additional interest to the user. Some examples include the dispersion entropy function (DispEn)  which also returns the reverse dispersion entropy , the spectral entropy function (SpecEn)  which also returns the band-spectral entropy , and the Kolmogorov entropy function (K2En)  which also returns the correlation sum estimate. Furthermore, every Multiscale and Multiscale Cross function has the option to plot the multiscale (cross) entropy curve (Fig 1), as well as some Base functions which allow one to plot spatial representations of the original time series (Figs 2 and 3).
The curve shown corresponds to multiscale bubble entropy of a Gaussian white noise signal (N = 5000, μ = 0, σ = 1), calculated over 5 coarse-grained time scales, with estimator parameters: embedding dimension (m) = 2, time delay (τ) = 1.
Representative second-order difference plot of the x-component of the Henon set of equations (α = 1.4, β = 0.3), calculated with a time-delay (τ) = 2 and partitions (K) = 9.
Installation and dependencies
Major version releases of the EntropyHub toolkit can be directly installed through the native package repository for the MATLAB, Python and Julia programming environments. Beta development versions can be downloaded and installed from the directories of each programming language hosted on the EntropyHub GitHub repository– github.com/MattWillFlood/EntropyHub. EntropyHub is compatible with Windows, Mac and Linux operating systems.
There are two additional toolboxes from the MATLAB product family that are required to experience the full functionality of the EntropyHub toolkit—the Signal Processing Toolbox and the Statistics and Machine Learning Toolbox. However, most functions will work without these toolboxes. EntropyHub is intended for use with MATLAB versions ≥ 2016a. In some cases, the toolkit may work on versions 2015a & 2015b, although it is not recommended to install on MATLAB versions older than 2016.
There are two ways to install EntropyHub in MATLAB.
Option 1. Note: Option 1 requires the user to be logged in to their MathWorks account.
- In the MATLAB application, open the Add-Ons browser under the ‘Home’ tab by clicking ‘Get Add-Ons’ (S1A Fig).
- In the search bar, search for “EntroypHub” (S1b Fig).
- Open the resulting link and click ‘add’ in the top-right corner (S1c Fig).
- Follow the instructions to install the toolbox (S1D Fig).
- Go to the ‘EntropyHub–MatLab’ directory in the EntropyHub repository on GitHub (S1E Fig): https://github.com/MattWillFlood/EntropyHub/tree/main/EntropyHub%20-%20MatLab
- Download the MATLAB toolbox file (EntropyHub.mltbx) file (S1F Fig).
- Open the MATLAB application and change the current folder to the directory where the EntropyHub.mltbx file is saved (S1G Fig).
- Double-click the EntropyHub.mltbx file to open it and click install (S1H Fig).
To check that EntropyHub has been correctly installed, enter “EntropyHub” at the command line and the EntropyHub logo should be displayed (S1I Fig).
There are several modules required to use EntropyHub in Python—NumPy , SciPy , Matplotlib , PyEMD , and Requests. These modules will be automatically installed alongside EntropyHub if not already installed. EntropyHub was designed using Python3 and thus is not intended for use with Python2 or Python versions < 3.6. EntropyHub Python functions are primarily built on top of the NumPy module for mathematical computation , so vector or matrix variables are returned as NumPy array objects.
There are 2 ways to install EntropyHub in Python. Option 1 is strongly recommended.
Option 1. Note: Option 1 requires the ‘pip’ Python package installer.
- ■ Using pip, enter the following at the command line (S2A Fig):
pip install EntropyHub
*Note: this command is case sensitive
- Go to the ‘EntropyHub–Python’ directory in the EntropyHub repository on GitHub (S2B Fig): https://github.com/MattWillFlood/EntropyHub/tree/main/EntropyHub%20-%20Python
- Download the EntropyHub.x.x.x.tar.gz folder and unzip it (S2C and S2D Fig).
- Open a command prompt (cmd on Windows, terminal on Mac) or the Anaconda prompt if Anaconda is the user’s python package distribution (S2E Fig).
- In the command prompt/terminal, navigate to the directory where the EntropyHub.x.x.x.tar.gz folder was saved and extracted (S2F Fig).
- Enter the following in the command line (S2G Fig):
python setup.py install
- Ensure that an up-to-date version of the setuptools module is installed:
python -m pip install—upgrade setuptools
To use EntropyHub, import the module with the following command (S2H Fig):
import EntropyHub as EH
To check that EntropyHub has been correctly installed and loaded, enter (S2H Fig):
There are a number of modules required to use EntropyHub in Julia—DSP, FFTW, HTTP, DelimitedFiles, Random, Plots, StatsBase, StatsFuns, Statistics, GroupSlices, Combinatorics, Clustering, LinearAlgebra, and Dierckx . These modules will be automatically installed alongside EntropyHub if not already installed. EntropyHub was designed using Julia 1.5 and is intended for use with Julia versions ≥ 1.2.
To install EntropyHub in Julia,
- In the Julia programming environment, open the package REPL by typing ‘]’ (S3A Fig).
- At the command line, enter (S3B Fig):
*Note: this command is case sensitive.
Alternatively, one can install EntropyHub from the EntropyHub.jl GitHub repository:
To use EntropyHub, import the module with the following command (S3C Fig):
To check that EntropyHub has been correctly installed and loaded, type (S3D Fig):
Supporting documentation and help
To help users to get the most out of EntropyHub, extensive documentation has been developed to cover all aspects of the toolkit, www.EntropyHub.xyz/#documentation-help. Included in the documentation are:
- ■ Instructions for installation.
- ■ Thorough descriptions of the application programming interface (API) syntax–function names, keyword arguments, output values, etc.
- ■ References to the original source literature for each method.
- ■ Examples of use.
Supporting documentation is available in various formats from the following sources.
The EntropyHub website, www.EntropyHub.xyz (also available at MattWillFlood.github.io/EntropyHub) is the primary source of information on the toolkit with dedicated sections to MATLAB, Python and Julia, as well as release updates and links to helpful internet resources.
The EntropyHub Guide.pdf is the toolkit user manual and can be downloaded from the documentation section of the EntropyHub website or from the EntropyHub GitHub repository. In addition to the information given on the website, the EntropyHub Guide.pdf document provides some extra material, such as plots of fuzzy functions used for fuzzy entropy (FuzzEn) calculation, or plots of symbolic mapping procedures used in dispersion (DispEn) or symbolic-dynamic entropy (SyDyEn).
MATLAB help browser
Custom built documentation for the MATLAB edition of the toolkit is accessible through the MATLAB help browser after installation. Every function has its own help page featuring several examples of use ranging from basic to advanced. To access this documentation, open the help browser in the MATLAB application and at the bottom of the contents menu on the main page, under ‘Supplemental Software’, click on the link ‘EntropyHub Toolbox’.
Custom documentation for the Julia edition of the toolkit can also be found at MattWillFlood.github.io/EntropyHub.jl (linked to the EntropyHub website). Following Julia package convention, the Julia edition is given the suffix ‘.jl’ and is hosted in a standalone GitHub repository linked to the main EntropyHub repository.
Seeking further help
Within each programming environment, information about a specific function can be displayed in the command prompt by accessing the function docstrings. For example, to display information about the approximate entropy function (ApEn), type:
- MATLAB: help ApEn
- Python: help(EntropyHub.ApEn) (if imported as EntropyHub)
- Julia: julia>? (to open help mode in the REPL)
- help?> ApEn
For help with topics not addressed in the documentation, users can seek help by contacting the toolkit developers at email@example.com. Every effort will be made to promptly respond to all queries received.
To ensure that EntropyHub works as intended, with accurate and robust algorithms at its core, users are encouraged to report any potential bugs or errors discovered. The recommended way to report issues is to place an issue post under the ‘Issues’ tab on the EntropyHub GitHub repository. Doing so allows other users to find answers to common issues and contribute their own solutions. Alternatively, one can notify the package developers of any issues via email to firstname.lastname@example.org.
Continuous integration of new and improved entropy methods into the toolkit is a core principle of the EntropyHub project. Thus, requests and suggestions for new features are welcomed, as are contributions and offers for collaboration. EntropyHub developers will work with collaborators to ensure that contributions are valid, translated into MATLAB, Python and Julia, and follow the formatting adopted throughout the toolkit. Please contact email@example.com regarding any proposals that wish to be made.
Included in EntropyHub are a number of sample time series and image datasets which can be used to test the validity of the toolkit functions (Fig 4). Included in these datasets are random number sequences (gaussian, uniform, random integers), chaotic attractors (Lorenz, Hénon), and matrix representations of images (Mandelbrot fractal, random numbers, etc.). Importing these datasets into the programming environment is done using the ExampleData function (Table 2), which requires an internet connection. Every example presented in the supporting documentation on the EntropyHub website, in the MATLAB help browser, or in the EntropyHub Guide.pdf, employs the same sample datasets provided by the ExampleData function. Therefore, users can replicate these examples verbatim to verify that the toolkit functions properly on their computer system. The following subsections demonstrate the implementation of several Base, Cross-, Bidimensional, Multiscale and Multiscale Cross-entropy methods as a proof-of-principle validation. Note: the examples in the following subsections use MATLAB syntax, but the implementation of these functions and the values they return are the same when using Python and Julia.
A sequence of normally distributed random numbers (Fig 4A; N = 5000, mean = 0, SD = 1) is imported and approximate entropy is estimated using the default parameters (embedding dimension = 2, time delay = 1, threshold = 0.2*SD[X]).
>> X = ExampleData(‘gaussian’);
2.33505 2.29926 2.10113
Random number sequences produce high entropy values as such sequences possess maximum uncertainty or unpredicatbility. The high approximate entropy values (> 2) returned in this example, corresponding to estimates for embedding dimensions of 0, 1 and 2, are in the expected range for such time series.
The x, y and z components of the Lorenz system of equations (Fig 4B; N = 5917, σ = 10, β = 8/3, ρ = 28, x0 = 10, y0 = 20, z0 = 10) are imported and cross-permutation entropy is estimated using the x and y components with the default parameters (embedding dimension = 3, time delay = 1).
>> X = ExampleData(‘lorenz’);
The Lorenz system is commonly employed in nonlinear dynamics as its attractor exhibits chaotic behaviour. Thus, the low cross-permutation entropy estimate returned here (0.1771) reflects the high degree of deterministic structure shared between the x and y components of the Lorenz system.
A matrix of normally distributed (Gaussian) random numbers is imported (Fig 4C; N = 60x120, mean = 0, SD = 1) and bidimensional dispersion entropy is estimated with a template submatrix size of 5 and all other parameters set to default values (time delay = 1, number of symbols = 3, symbolic mapping transform = normal cumulative distribution function).
>> X = ExampleData(‘gaussian_Mat’);
>> DispEn2D(X, ‘m’, 5)
The high value of the bidimensional dispersion entropy estimate corresponds to those previously reported for Gaussian white noise .
A chirp signal (N = 5000, t0 = 1, t0 = 4000, normalised instantaneous frequency at t0 = 0.01Hz, instantaneous frequency at t1 = 0.025Hz) is imported and multiscale sample entropy is estimated over 5 coarse-grained temporal scale using the default parameters (embedding dimension = 2, time delay = 1, threshold = 0.2*SD[X]). Note: a multiscale entropy object (Mobj) must be used with multiscale entropy functions.
>> X = ExampleData(‘chirp’);
>> Mobj = MSobject(‘SampEn’);
>> MSEn(X, Mobj, ’Scales’, 5)
0.2738 0.3412 0.4257 0.5452 0.6759
The chirp signal imported in this example represents a swept-frequency cosine with a linearly decreasing period length. The coarse-graining procedure of multiscale entropy  functions as a low-pass filter of the original time series, with a lower cut-off frequency at each increasing time scale. Therefore, the coarse-graining procedure increasingly diminishes the localised auto-correlation of the chirp signal at each temporal scale, increasing the entropy. This reflects the increasing sample entropy values from low (0.2738) to moderate (0.6759) returned by the MSEn function.
Two sequences of uniformly distributed random numbers (N = 4096, range = [0, 1]) are imported and multiscale cross-distribution entropy is estimated over 7 coarse-grained temporal scales with the default parameters (embedding dimension = 2, time delay = 1, histogram binning method = ‘sturges’, normalisation with respect to number of histogram bins = true).
>> X = ExampleData(‘uniform2’);
>> Mobj = MSobject(‘XDistEn’);
>> XMSEn(X, Mobj)
0.95735 0.86769 0.83544 0.80433 0.82617 0.77619 0.78893
As expected, the normalised multiscale cross-distribution entropy values remain relatively constant over multiple time scales as no information can be gained about one sequence from the other at any time scale.
The growing number of entropy methods reported in the scientific literature for time series and image analysis warrants new software tools that enable researchers to apply such methods [2, 3, 38]. Currently, there is a dearth of validated, open-source tools that implement a comprehensive array of entropy methods at the command-line with options to modify multiple parameter values. EntropyHub is the first toolkit to provide this functionality in a package that is available in three programming languages (MATLAB, Python, and Julia) with consistent syntax, and is supported by extensive documentation (Table 3). To the best of the Authors knowledge, EntropyHub is also the first toolkit to provide multiple functions for bidimensional entropy [82–86], multiscale entropy [14, 15, 35, 90, 96] and multiscale cross-entropy analyses [40, 97, 98] all in one package. Specific programming language editions of the EntropyHub toolkit are hosted on the native package repositories for MATLAB, Python and Julia (Table 3), facilitating straightforward installation and version updates. EntropyHub is compatible with both Windows, Mac and Linux operating systems, and is open for use under the Apache License (Version 2.0) on condition that the present manuscript be cited in any outputs achieved through the use of the toolkit.
The application of entropy in the study of time series data is becoming more common in all manner of research fields such as engineering [17, 18], medicine [19–23] and finance [24–27]. The broad range of entropy functions provided by EntropyHub in multiple programming languages can serve to support researchers in these fields by characterising the uncertainty and complexity of time series data with various stochastic, time-frequency and chaotic properties. Additionally, this is the first toolkit to provide several functions for performing bidimensional (2D) entropy analysis, which can enable users to estimate the entropy of images and matrix data.
The goal of EntropyHub is to continually integrate newly developed entropy methods and serve as a cohesive computing resource for all entropy-based analysis, independent of the application or research field. To achieve this goal, suggestions for new features and contributions from other researchers are welcomed.
S1 Fig. Instructions for installing EntropyHub in MATLAB.
S2 Fig. Instructions for installing EntropyHub in Python.
The Authors wish to thank Dr Lara McManus and Ben O’Callaghan for generously donating their time to test the toolkit and provide constructive feedback which substantially improved the end result. The Authors would also like to acknowledge the work of the scientific community in deriving the entropy methods that motivated the development of EntropyHub.
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