Multivariate multiscale entropy: A tool for complexity analysis of multichannel data

This work generalizes the recently introduced univariate multiscale entropy (MSE) analysis to the multivariate case. This is achieved by introducing multivariate sample entropy (MSampEn) in a rigorous way, in order to account for both within- and cross-channel dependencies in multiple data channels, and by evaluating it over multiple temporal scales. The multivariate MSE (MMSE) method is shown to provide an assessment of the underlying dynamical richness of multichannel observations, and more degrees of freedom in the analysis than standard MSE. The benefits of the proposed approach are illustrated by simulations on complexity analysis of multivariate stochastic processes and on real-world multichannel physiological and environmental data.