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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Detalles Bibliográficos
Autores principales: Zunino, L., Pérez, D.G., Kowalski, A., Martín, M.T., Garavaglia, M., Plastino, A., Rosso, O.A.
Formato: JOUR
Materias:
Bandt & Pompe method
Fractional Brownian motion
Fractional Gaussian noise
Tsallis entropy
Brownian movement
Gaussian noise (electronic)
Risk assessment
Stochastic programming
Trellis codes
Entropic indexes
Optimum value
Permutation entropy
Pow erful tool
Ranges of values
Stochastic processing
Probability distributions
Acceso en línea:http://hdl.handle.net/20.500.12110/paper_03784371_v387_n24_p6057_Zunino
Aporte de:
Biblioteca Digital - Facultad de Ciencias Exactas y Naturales (UBA) de Universidad de Buenos Aires
Descripción
Sumario: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.

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