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

被引：54

作者：

Zunino, L. ^{[1
,2
,3
]}

Perez, D. G. ^{[4
]}

Kowalski, A. ^{[5
,6
]}

Martin, M. T. ^{[5
,7
]}

Garavaglia, M. ^{[1
,3
]}

Plastino, A. ^{[5
,7
]}

Rosso, O. A. ^{[8
,9
]}

机构：

[1] Ctr Invest Opt, RA-1900 La Plata, Argentina

[2] Natl Univ La Plata, Fac Ingn, Dept Ciencias Basicas, RA-1900 La Plata, Argentina

[3] Natl Univ La Plata, Fac Ciencias Exactas, Dept Fis, RA-1900 La Plata, Argentina

[4] Pontificia Univ Catolica Valparaiso 23, Inst Fis, Valparaiso 40025, Chile

[5] Univ Nacl La Plata, Fac Ciencias Exactas, Inst Fis IFLP CCT, RA-1900 La Plata, Argentina

[6] Buenos Aires Sci Res Commiss CIC, RA-1900 La Plata, Argentina

[7] Argonne Natl Council CCT CONICET, RA-1900 La Plata, Argentina

[8] Univ Newcastle, Sch Elect Engn & Comp Sci, Ctr Bioinformat Biomarker Discovery & Informat Ba, Callaghan, NSW 2308, Australia

[9] Univ Buenos Aires, Fac Ciencias Exactas & Nat, Inst Calculo, Chaos & Biol Grp, RA-1428 Buenos Aires, DF, Argentina

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 24期

基金：

澳大利亚研究理事会;

关键词：

Tsallis entropy; Bandt & Pompe method; fractional Brownian motion; fractional Gaussian noise;

D O I：

10.1016/j.physa.2008.07.004

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：6057 / 6068

页数：12

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