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Cross-entropy was introduced in 1996 to quantify the degree of asynchronism between two time series. In 2009, a multiscale cross-entropy measure was proposed to analyze the dynamical characteristics of the coupling behavior between two sequences on multiple scales. Since their introductions, many improvements and other methods have been developed. In this review we offer a state-of-the-art on cross-entropy measures and their multiscale approaches.
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Jamin et al. (2019) studied this question.
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