Extracting features of Gaussian self-similar stochastic processes via the Bandt-Pompe approach

O. A. Rosso, L. Zunino, DARIO GABRIEL PEREZ , A. Figliola, H. A. Larrondo, M. Garavaglia, M. T. Martín, A. Plastino

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Abstract

By recourse to appropriate information theory quantifiers (normalized Shannon entropy and Martín-Plastino-Rosso intensive statistical complexity measure), we revisit the characterization of Gaussian self-similar stochastic processes from a Bandt-Pompe viewpoint. We show that the ensuing approach exhibits considerable advantages with respect to other treatments. In particular, clear quantifiers gaps are found in the transition between the continuous processes and their associated noises.

Original languageEnglish
Article number061114
JournalPhysical Review E - Statistical, Nonlinear, and Soft Matter Physics
Volume76
Issue number6
DOIs
StatePublished - 12 Dec 2007

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