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

Resultado de la investigación: Contribución a una revistaArtículorevisión exhaustiva

76 Citas (Scopus)

Resumen

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.

Idioma originalInglés
Páginas (desde-hasta)4768-4774
Número de páginas7
PublicaciónPhysics Letters, Section A: General, Atomic and Solid State Physics
Volumen372
N.º27-28
DOI
EstadoPublicada - 30 jun 2008
Publicado de forma externa

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