Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy | NOVA. The University of Newcastle's Digital Repository

Home

Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/43493

Title: Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy
Author/Creator: Zunino, L.; Perez, D. G.; Kowalski, A.; Martin, M. T.; Garavaglia, M.; Plastino, A.; Rosso, O. A.
Institution: The University of Newcastle. Faculty of Engineering & Built Environment, School of Electrical Engineering and Computer Science
Description: In this work, we analyze two important stochastic processes, the fractional Brownian motion and fractional Gaussian noise, within the framework of the Tsallis permutation entropy. This entropic measure, evaluated after using the Bandt & Pompe method to extract the associated probability distribution, is shown to be a powerful tool to characterize fractal stochastic processes. It allows for a better discrimination of the processes than the Shannon counterpart for appropriate ranges of values of the entropic index. Moreover, we find the optimum value of this entropic index for the stochastic processes under study.
Relation: Physica A: Statistical Mechanics and Its Applications Vol. 387, Issue 24, p. 6057-6068
Publisher Link: http://dx.doi.org/10.1016/j.physa.2008.07.004
Date: 2008
Publisher: Elsevier
Keyword(s): Tsallis entropy; Bandt & Pompe method; fractional Brownian motion; fractional Gaussian noise
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.13/43493
Identifier: ISSN:0378-4371

59 Visitors

73 Hits

NOVA. The University of Newcastle's Digital Repository