The method of multiscale entropy (MSE) analysis is useful for investigating complexity in physiologic signals and other series that have correlations at multiple (time) scales.
A tutorial about multiscale entropy analysis is available here (a PDF version is also available). The tutorial introduces the concept of MSE, describes an algorithm for calculating MSE using sample entropy (SampEn), presents a portable implementation of this algorithm, and illustrates its use with interbeat (RR) interval time series from PhysioBank.
The software described in the tutorial is here, and a reference man page for it is here.
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