A cooperation index based on the Rényi entropy of correlation matrix spectrum

We propose an index to measure cooperation among different time-series based on the Rényi entropy of the eigenvalues of the signal correlation matrix and an optimization step. The index could be considered as a generalization of a previously known index, based instead on the Shannon entropy. The extension to Rényi entropy and the optimization step allow a better use of the information conveyed by the correlation matrix, especially when dealing with a small number of signals.

► Cooperation index among time-series based on the signal correlation matrix. ► Improvement of a previously known index. ► Generalization of Shannon to Rényi entropy and an optimization step. ► Numerous experiments, from simple to more elaborated, highlight the good features.