Wavelet entropy and fractional Brownian motion time series

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

Research output: Contribution to journalArticlepeer-review

26 Scopus citations

Abstract

We study the functional link between the Hurst parameter and the normalized total wavelet entropy when analyzing fractional Brownian motion (fBm) time series-these series are synthetically generated. Both quantifiers are mainly used to identify fractional Brownian motion processes [L. Zunino, D.G. Pérez, M. Garavaglia, O.A. Rosso, Characterization of laser propagation through turbulent media by quantifiers based on the wavelet transform, Fractals 12(2) (2004) 223-233]. The aim of this work is to understand the differences in the information obtained from them, if any.

Original languageEnglish
Pages (from-to)282-288
Number of pages7
JournalPhysica A: Statistical Mechanics and its Applications
Volume365
Issue number2
DOIs
StatePublished - 15 Jun 2006

Keywords

  • Fractional Brownian motion
  • Hurst parameter
  • Mean normalized total wavelet entropy
  • Wavelet theory

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