Information-theoretical analysis of statistical measures for multiscale dynamics

Multiscale entropy (MSE) has been widely used to examine nonlinear systems involving multiple time scales, such as biological and economic systems. Conversely, Allan variance has been used to evaluate the stability of oscillators, such as clocks and lasers, ranging from short to long time scales. Although these two statistical measures were developed independently for different purposes in different fields in the literature, their interest is to examine multiscale temporal structures of physical phenomena under study. We show that, from an information-theoretical perspective, they share some foundations and exhibit similar tendencies. We experimentally confirmed that similar properties of the MSE and Allan variance can be observed in low-frequency fluctuations (LFF) in chaotic lasers and physiological heartbeat data. Furthermore, we calculated the condition under which this consistency between the MSE and Allan variance exists, which is related to certain conditional probabilities. Heuristically, physical systems in nature including the aforementioned LFF and heartbeat data mostly satisfy this condition, and hence the MSE and Allan variance demonstrate similar properties. As a counterexample, an artificially constructed random sequence is demonstrated, for which the MSE and Allan variance exhibit different trends.