Entropy, as a nonlinear feature in information science, has drawn much attention for time series analysis. Entropy features have been used to measure the complexity behavior of time series. However, traditional entropy methods mainly focus on one-dimensional time series originating from single-channel transducers and are incapable of handling the multidimensional time series from multi-channel transducers. Previously, the multivariate multiscale sample entropy (MMSE) algorithm was introduced for multi-channel data analysis. Although MMSE generalizes multiscale sample entropy and provides a new method for multidimensional data analysis, it lacks necessary theoretical support and has shortcomings, such as missing cross-channel correlation information and having biased estimation results. This paper proposes an improved multivariate multiscale sample entropy (IMMSE) algorithm to overcome these shortcomings. This paper highlights the existing shortcomings in MMSE under the generalized algorithm. The rationality of IMMSE is theoretically proven using probability theory. Simulations and real-world data analysis have shown that IMMSE is capable of effectively extracting cross-channel correlation information and demonstrating robustness in practical applications. Moreover, it provides theoretical support for generalizing single-channel entropy methods to multi-channel situations.
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