WaveEntropy(C,L,var​argin)

Calculates shannon entropy from discrete wavelet coefficients

This function, based on Rosso et al. 2001, uses dwt coefficients C and bookeeping vector L (see 'wavedec' for details) to calculate relative wavelet energy and subsequently total wavelet entropy defined as:
Etot = -sum(energy .* log(energy))
for each column in C (where each column j represents coefficients from wavelet decomposition of time series j).
In addition, the function accepts a third argument "Cref" - a cell array with each cell representing another channel of data (or time-shifted version of the original data), which will be used to calculate relative entropy as:
Erel(j,:) = -sum(Energy .* log(Energy ./ ref_energy{ j }))
N the structure of each cell must match the structure of C.