Entropy Estimator based on the Lempel-Ziv algorithm

Entropy Estimator based on the Lempel-Ziv algorithm

This function allows to estimate the entropy of a time series. It is based on the Lempel-Ziv compression algorithm. For a time series of length n, the entropy is estimate as:
E= (1/n SUM_i L_i )^-1 ln(n)

where L_i is the longness of the shortest substring starting at position i which doesn't previously appear from position 1 to i-1. The estimated entropy converges to the real entropy of the time series when n approaches to infinity.