Permutation entropy of fractional Brownian motion and fractional Gaussian noise

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

Research output: Contribution to journalArticlepeer-review

76 Scopus citations

Abstract

We have worked out theoretical curves for the permutation entropy of the fractional Brownian motion and fractional Gaussian noise by using the Bandt and Shiha [C. Bandt, F. Shiha, J. Time Ser. Anal. 28 (2007) 646] theoretical predictions for their corresponding relative frequencies. Comparisons with numerical simulations show an excellent agreement. Furthermore, the entropy-gap in the transition between these processes, observed previously via numerical results, has been here theoretically validated. Also, we have analyzed the behaviour of the permutation entropy of the fractional Gaussian noise for different time delays.

Original languageEnglish
Pages (from-to)4768-4774
Number of pages7
JournalPhysics Letters, Section A: General, Atomic and Solid State Physics
Volume372
Issue number27-28
DOIs
StatePublished - 30 Jun 2008
Externally publishedYes

Keywords

  • Fractional Brownian motion
  • Fractional Gaussian noise
  • Permutation entropy

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