Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy
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 distribu...
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| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_03784371_v387_n24_p6057_Zunino |
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todo:paper_03784371_v387_n24_p6057_Zunino2023-10-03T15:32:53Z Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy Zunino, L. Pérez, D.G. Kowalski, A. Martín, M.T. Garavaglia, M. Plastino, A. Rosso, O.A. Bandt & Pompe method Fractional Brownian motion Fractional Gaussian noise Tsallis entropy Brownian movement Gaussian noise (electronic) Risk assessment Stochastic programming Trellis codes Entropic indexes Fractional Brownian motion Fractional Gaussian noise Optimum value Permutation entropy Pow erful tool Ranges of values Stochastic processing Tsallis entropy Probability distributions 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. © 2008 Elsevier B.V. All rights reserved. JOUR info:eu-repo/semantics/openAccess http://creativecommons.org/licenses/by/2.5/ar http://hdl.handle.net/20.500.12110/paper_03784371_v387_n24_p6057_Zunino |
| institution |
Universidad de Buenos Aires |
| institution_str |
I-28 |
| repository_str |
R-134 |
| collection |
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) |
| topic |
Bandt & Pompe method Fractional Brownian motion Fractional Gaussian noise Tsallis entropy Brownian movement Gaussian noise (electronic) Risk assessment Stochastic programming Trellis codes Entropic indexes Fractional Brownian motion Fractional Gaussian noise Optimum value Permutation entropy Pow erful tool Ranges of values Stochastic processing Tsallis entropy Probability distributions |
| spellingShingle |
Bandt & Pompe method Fractional Brownian motion Fractional Gaussian noise Tsallis entropy Brownian movement Gaussian noise (electronic) Risk assessment Stochastic programming Trellis codes Entropic indexes Fractional Brownian motion Fractional Gaussian noise Optimum value Permutation entropy Pow erful tool Ranges of values Stochastic processing Tsallis entropy Probability distributions Zunino, L. Pérez, D.G. Kowalski, A. Martín, M.T. Garavaglia, M. Plastino, A. Rosso, O.A. Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy |
| topic_facet |
Bandt & Pompe method Fractional Brownian motion Fractional Gaussian noise Tsallis entropy Brownian movement Gaussian noise (electronic) Risk assessment Stochastic programming Trellis codes Entropic indexes Fractional Brownian motion Fractional Gaussian noise Optimum value Permutation entropy Pow erful tool Ranges of values Stochastic processing Tsallis entropy Probability distributions |
| 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. © 2008 Elsevier B.V. All rights reserved. |
| format |
JOUR |
| author |
Zunino, L. Pérez, D.G. Kowalski, A. Martín, M.T. Garavaglia, M. Plastino, A. Rosso, O.A. |
| author_facet |
Zunino, L. Pérez, D.G. Kowalski, A. Martín, M.T. Garavaglia, M. Plastino, A. Rosso, O.A. |
| author_sort |
Zunino, L. |
| title |
Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy |
| title_short |
Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy |
| title_full |
Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy |
| title_fullStr |
Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy |
| title_full_unstemmed |
Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy |
| title_sort |
fractional brownian motion, fractional gaussian noise, and tsallis permutation entropy |
| url |
http://hdl.handle.net/20.500.12110/paper_03784371_v387_n24_p6057_Zunino |
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