Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy

L. Zunino, D. G. Pérez, A. Kowalski, M. T. Martín, M. Garavaglia, A. Plastino, O. A. Rosso

Research output: Contribution to journalArticlepeer-review

46 Scopus citations

Abstract

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.

Original languageEnglish
Pages (from-to)6057-6068
Number of pages12
JournalPhysica A: Statistical Mechanics and its Applications
Volume387
Issue number24
DOIs
StatePublished - 15 Oct 2008
Externally publishedYes

Keywords

  • Bandt & Pompe method
  • Fractional Brownian motion
  • Fractional Gaussian noise
  • Tsallis entropy

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