In this paper, we introduce a novel entropy measure, termed epoch-based entropy. This measure quantifies disorder of EEG signals both at the time level and spatial level, using local density estimation by a Hidden Markov Model on inter-channel stationary epochs. The investigation is led on a multi-centric EEG database recorded from patients at an early stage of Alzheimer's disease (AD) and age-matched healthy subjects. We investigate the classification performances of this method, its robustness to noise, and its sensitivity to sampling frequency and to variations of hyperparameters. The measure is compared to two alternative complexity measures, Shannon's entropy and correlation dimension. The classification accuracies for the discrimination of AD patients from healthy subjects were estimated using a linear classifier designed on a development dataset, and subsequently tested on an independent test set. Epoch-based entropy reached a classification accuracy of 83% on the test dataset (specificity = 83.3%, sensitivity = 82.3%), outperforming the two other complexity measures. Furthermore, it was shown to be more stable to hyperparameter variations, and less sensitive to noise and sampling frequency disturbances than the other two complexity measures