Wavelet entropy and fractional Brownian motion time series

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We study the functional link between the Hurst parameter and the normalized total wavelet entropy when analyzing fractional Brownian motion (fBm) time series—these series are synthetically generated. Both quantifiers are mainly used to identify fractional Brownian motion processes [L. Zunino, D.G. P...

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Detalles Bibliográficos
Autores principales: Pérez, Darío Gabriel, Zunino, Luciano José, Garavaglia, Mario José, Rosso, O. A.
Formato: Articulo
Lenguaje:Inglés
Publicado: 2006
Materias:
Física
Fractional Brownian motion
Wavelet theory
Hurst parameter
Mean normalized total wavelet entropy
Acceso en línea:http://sedici.unlp.edu.ar/handle/10915/131022
Aporte de:
SEDICI (UNLP) de Universidad Nacional de La Plata
Descripción
Sumario:We study the functional link between the Hurst parameter and the normalized total wavelet entropy when analyzing fractional Brownian motion (fBm) time series—these series are synthetically generated. Both quantifiers are mainly used to identify fractional Brownian motion processes [L. Zunino, D.G. Perez, M. Garavaglia, O.A. Rosso, Characterization of laser propagation through turbulent media by quantifiers based on the wavelet transform, Fractals 12(2) (2004) 223–233]. The aim of this work is to understand the differences in the information obtained from them, if any.

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