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.
|Number of pages||7|
|Journal||Physics Letters, Section A: General, Atomic and Solid State Physics|
|State||Published - 30 Jun 2008|
- Fractional Brownian motion
- Fractional Gaussian noise
- Permutation entropy