Wavelet entropy and fractional Brownian motion time series

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

Physica A: Statistical Mechanics and its Applications, 2006, vol. 365, issue 2, 282-288

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.

Keywords: Fractional Brownian motion; Wavelet theory; Hurst parameter; Mean normalized total wavelet entropy (search for similar items in EconPapers)
Date: 2006
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:365:y:2006:i:2:p:282-288

DOI: 10.1016/j.physa.2005.09.060

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