Permutation entropy of fractional Brownian motion and fractional Gaussian noise

Title: Permutation entropy of fractional Brownian motion and fractional Gaussian noise
Creator: Zunino, L.; Perez, D. G.; Martin, M. T.; Garavaglia, M.; Plastino, A.; Rosso, O. A.
Relation: Physics Letters A Vol. 372, Issue 27-28, p. 4768-4774
Publisher Link: http://dx.doi.org/10.1016/j.physleta.2008.05.026
Publisher: Elsevier
Resource Type: journal article
Date: 2008
Description: 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.
Subject: permutation entropy; fractional Brownian motion; fractional Gaussian noise
Identifier: http://hdl.handle.net/1959.13/43514
Identifier: uon:5613
Identifier: ISSN:0375-9601
Language: eng
Reviewed

		Thumbnail	File	Description	Size	Format