Calculates the entropy rate of a Markov chain, measuring the long-run average uncertainty per time step. The entropy rate characterizes the complexity and predictability of a stochastic process governed by Markov transitions, useful for modeling regime-switching markets and state-dependent strategies.
Use Cases:
Formula: H_rate = -ΣΣ π_i P_ij log(P_ij), where π is stationary distribution
Credits: 5 credits per request (Pro Tier)
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Markov transition probability matrix (rows must sum to 1)
[
[0.7, 0.2, 0.1],
[0.3, 0.5, 0.2],
[0.1, 0.3, 0.6]
]Stationary distribution (optional - will be computed if not provided)
[0.35, 0.35, 0.3]Logarithm base for entropy calculation
2.718281828459045