Not all (possibly) "random" sequences are created equal.

Abstract

The need to assess the randomness of a single sequence, especially a finite sequence, is ubiquitous, yet is unaddressed by axiomatic probability theory. Here, we assess randomness via approximate entropy (ApEn), a computable measure of sequential irregularity, applicable to single sequences of both (even very short) finite and infinite length. We indicate the novelty and facility of the multidimensional viewpoint taken by ApEn, in contrast to classical measures. Furthermore and notably, for finite length, finite state sequences, one can identify maximally irregular sequences, and then apply ApEn to quantify the extent to which given sequences differ from maximal irregularity, via a set of deficit (def(m)) functions. The utility of these def(m) functions which we show allows one to considerably refine the notions of probabilistic independence and normality, is featured in several studies, including (i) digits of e, pi, radical2, and radical3, both in base 2 and in base 10, and (ii) sequences given by fractional parts of multiples of irrationals. We prove companion analytic results, which also feature in a discussion of the role and validity of the almost sure properties from axiomatic probability theory insofar as they apply to specified sequences and sets of sequences (in the physical world). We conclude by relating the present results and perspective to both previous and subsequent studies.