Model-free stochastic processes studied with q-wavelet-based informational tools

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

Research output: Contribution to journalArticlepeer-review

18 Scopus citations

Abstract

We undertake a model-free investigation of stochastic processes employing q-wavelet based quantifiers, that constitute a generalization of their Shannon counterparts. It is shown that (i) interesting physical information becomes accessible in such a way, (ii) for special q values the quantifiers are more sensitive than the Shannon ones and (iii) there exist an implicit relationship between the Hurst parameter H and q within this wavelet framework.

Original languageEnglish
Pages (from-to)259-266
Number of pages8
JournalPhysics Letters, Section A: General, Atomic and Solid State Physics
Volume364
Issue number3-4
DOIs
StatePublished - 30 Apr 2007

Keywords

  • Fractional Brownian motion
  • Fractional Gaussian noise
  • Self-similar Gaussian stochastic processes
  • Wavelet analysis
  • Wavelet q-entropy
  • Wavelet q-statistical complexity

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