Fractional Brownian motion, fractional Gaussian noise, and Tsallis permutation entropy

L. Zunino, D.G. Pérez, A. Kowalski, M.T. Martín, M. Garavaglia, A. Plastino and O.A. Rosso

Physica A: Statistical Mechanics and its Applications, 2008, vol. 387, issue 24, 6057-6068

Abstract: In this work, we analyze two important stochastic processes, the fractional Brownian motion and fractional Gaussian noise, within the framework of the Tsallis permutation entropy. This entropic measure, evaluated after using the Bandt & Pompe method to extract the associated probability distribution, is shown to be a powerful tool to characterize fractal stochastic processes. It allows for a better discrimination of the processes than the Shannon counterpart for appropriate ranges of values of the entropic index. Moreover, we find the optimum value of this entropic index for the stochastic processes under study.

Keywords: Tsallis entropy; Bandt & Pompe method; Fractional Brownian motion; Fractional Gaussian noise (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (19)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:387:y:2008:i:24:p:6057-6068

DOI: 10.1016/j.physa.2008.07.004

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