Wavelet entropy of stochastic processes

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

Physica A: Statistical Mechanics and its Applications, 2007, vol. 379, issue 2, 503-512

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.

Keywords: Wavelet analysis; Wavelet entropy; Fractional Brownian motion; Fractional Gaussian noise; α-parameter (search for similar items in EconPapers)
Date: 2007
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Citations: View citations in EconPapers (4)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:379:y:2007:i:2:p:503-512

DOI: 10.1016/j.physa.2006.12.057

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