Randomness and degrees of irregularity.

Abstract

The fundamental question "Are sequential data random?" arises in myriad contexts, often with severe data length constraints. Furthermore, there is frequently a critical need to delineate nonrandom sequences in terms of closeness to randomness--e.g., to evaluate the efficacy of therapy in medicine. We address both these issues from a computable framework via a quantification of regularity. ApEn (approximate entropy), defining maximal randomness for sequences of arbitrary length, indicating the applicability to sequences as short as N = 5 points. An infinite sequence formulation of randomness is introduced that retains the operational (and computable) features of the finite case. In the infinite sequence setting, we indicate how the "foundational" definition of independence in probability theory, and the definition of normality in number theory, reduce to limit theorems without rates of convergence, from which we utilize ApEn to address rates of convergence (of a deficit from maximal randomness), refining the aforementioned concepts in a computationally essential manner. Representative applications among many are indicated to assess (i) random number generation output; (ii) well-shuffled arrangements; and (iii) (the quality of) bootstrap replicates.