TY - JOUR
T1 - Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy
AU - Zunino, L.
AU - Pérez, D. G.
AU - Kowalski, A.
AU - Martín, M. T.
AU - Garavaglia, M.
AU - Plastino, A.
AU - Rosso, O. A.
N1 - Funding Information:
This work was partially supported by Consejo Nacional de Investigaciones Científicas y Técnicas (CONICET) (PIP 0029/98; 5687/05 and 6036/05), Argentina, Comisión Nacional de Investigación Científica y Tecnológica (CONICYT) (FONDECYT project No. 11060512), Chile, and Pontificia Universidad Católica de Valparaíso (PUCV) (Project No. 123.788/2007), Chile. OAR gratefully acknowledges support from Australian Research Council (ARC) Centre of Excellence in Bioinformatics, Australia.
PY - 2008/10/15
Y1 - 2008/10/15
N2 - 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.
AB - 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.
KW - Bandt & Pompe method
KW - Fractional Brownian motion
KW - Fractional Gaussian noise
KW - Tsallis entropy
UR - http://www.scopus.com/inward/record.url?scp=49649083517&partnerID=8YFLogxK
U2 - 10.1016/j.physa.2008.07.004
DO - 10.1016/j.physa.2008.07.004
M3 - Article
AN - SCOPUS:49649083517
SN - 0378-4371
VL - 387
SP - 6057
EP - 6068
JO - Physica A: Statistical Mechanics and its Applications
JF - Physica A: Statistical Mechanics and its Applications
IS - 24
ER -