Wavelet entropy of stochastic processes

Zunino, L.; Perez, D. G.; Garavaglia, M.; Rosso, O. A.

doi:10.1016/j.physa.2006.12.057

arXiv 2006-03-17 DOI 10.1016/j.physa.2006.12.057 0 views

Wavelet entropy of stochastic processes

Zunino, L. · Perez, D. G. · Garavaglia, M. · Rosso, O. A.

Data Analysis, Statistics and Probability Computational Physics

Original · EN

We compare two different definitions for the wavelet entropy associated to stochastic processes. The first one, the Normalized Total Wavelet Entropy (NTWS) family [Phys. Rev. E 57 (1998) 932; J. Neuroscience Method 105 (2001) 65; Physica A (2005) in press] and a second introduced by Tavares and Lucena [Physica A 357 (2005) 71]. In order to understand their advantages and disadvantages, exact results obtained for fractional Gaussian noise (-1<alpha< 1) and the fractional Brownian motion (1 < alpha < 3) are assessed. We find out that NTWS family performs better as a characterization method for these stochastic processes.

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