Wavelet entropy of stochastic processes

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

Research output: Contribution to journalArticlepeer-review

50 Scopus citations

Abstract

We compare two different definitions for the wavelet entropy associated to stochastic processes. The first one, the normalized total wavelet entropy (NTWS) family [S. Blanco, A. Figliola, R.Q. Quiroga, O.A. Rosso, E. Serrano, Time-frequency analysis of electroencephalogram series, III. Wavelet packets and information cost function, Phys. Rev. E 57 (1998) 932-940; O.A. Rosso, S. Blanco, J. Yordanova, V. Kolev, A. Figliola, M. Schürmann, E. Başar, Wavelet entropy: a new tool for analysis of short duration brain electrical signals, J. Neurosci. Method 105 (2001) 65-75] and a second introduced by Tavares and Lucena [Physica A 357(1) (2005) 71-78]. In order to understand their advantages and disadvantages, exact results obtained for fractional Gaussian noise (- 1 < α < 1) and fractional Brownian motion (1 < α < 3) are assessed. We find out that the NTWS family performs better as a characterization method for these stochastic processes.

Original languageEnglish
Pages (from-to)503-512
Number of pages10
JournalPhysica A: Statistical Mechanics and its Applications
Volume379
Issue number2
DOIs
StatePublished - 15 Jun 2007
Externally publishedYes

Keywords

  • Fractional Brownian motion
  • Fractional Gaussian noise
  • Wavelet analysis
  • Wavelet entropy
  • α-parameter

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